# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad82ba1675ecec9d5 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text Division of Investment Management Analytics Ofce Registered Fund Statistics Form N-PORT Data, period ending September 2023 April 18, 2024 This is a report of the Staf of the Division of Investment Management’s Analytics Ofce of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, fndings, or conclusions contained herein. Information presented in this report refects staf’s compilation and analysis of data reported to the Commission on Form N-PORT, certain other flings (e.g., Form N-CEN), and supplemental third-party data. The presented information does not refect any flings or amended flings submitted after April 18, 2024. April 18, 2024 Analytics Ofce Introduction This report provides statistics and trends for SEC-registered investment companies that fle reports of portfolio holdings on Form N-PORT each month, refecting data collected through Form N-CEN and Form N-PORT flings received through April 18, 2024 for reporting periods from March 2019 through September 2023. The table below provides information on investment companies which are required to fle on Form N-PORT and are captured in this report. Fund Type Mutual Funds registered on Form N-1A (excluding money market funds) Exchange-Traded Funds (ETFs) registered on Form N-1A, or as a unit investment trust on Form N-8B-2 Closed-End Funds registered on Form N-2 as a management investment company (including interval funds and non-traded funds registered on Form N-2) Seperate accounts ofering variable annuity contracts on Form N-3 Business Development Companies (BDCs) Money Market Funds regulated under rule 2a-7 Small business investment companies registered on Form N-5 Unit Investment Trusts registered on Form N-4 or N-6 Unit Investment Trusts registered on Forms S-6 and N-8B-2 (excluding ETFs) Required to File Form N-PORT? Yes No X X X X X X X X X Please see the Division of Investment Management’s “Money Market Fund Statistics” report on SEC.gov for information and statistics relating to money market funds reporting on Form N-MFP. The Commission began receiving Form N-PORT flings from Large Entities — funds that together with other investment companies in the same group of related investment companies have net assets of $1 billion or more — for the March 2019 reporting period. A full data set, including information from non-Large Entities, was not collected until the March 2020 reporting period. Please see the Appendix to this report for defnitions of capitalized terms and other technical descriptions including explanation of consensus categories, prevalent asset classes, and techniques used to minimize the efects of outliers. Filers may fle amendments to current or historical Form N-PORT flings at any time. This report utilizes the most recently reported data for each fund for a given report period, based on Form N-PORT flings received through April 18, 2024. 1 April 18, 2024 Analytics Ofce Funds must fle reports on Form N-PORT with the Commission for each month in the fscal quarter not later than 60 days after the end of that fscal quarter. A complete picture of registered fund exposures for a given calendar quarter is therefore not available to Commission Staf until approximately four months following the end of that period. As noted on Form N-PORT, the Commission does not intend to make public information reported on Form N-PORT for the frst and second month of each fund’s fscal quarter and certain other information that is identifable to any particular fund or adviser. Accordingly, statistics involving non-public Form N-PORT data provided in this report are anonymized, and are aggregated, rounded, and/or masked. Masked data in this report is denoted by “***”. Commission Staf works with the reported information and with flers to identify and correct fling errors and employs certain methodologies and assumptions in aggregating the data. Commission Staf updates reported statistics from time to time to refect corrected and amended flings and any adjustments to methodologies and assumptions, which may result in changes to previously reported statistics. A downloadable Excel fle published alongside this report provides the most recently updated historical data and includes methodological notes and assumptions, including a description of signifcant changes. If you have any questions or comments about Registered Fund Statistics (September 2023), please contact: Tim Dulaney, PhD, Juan Carlos Forero Penaranda, or Trevor Tatum with subject line “Registered Fund Statistics (September 2023)”. 2 April 18, 2024 Analytics Ofce Contents 1 Number of Funds 4 2 Total Fund Assets 5 3 Flows and Returns 9 4 Fund Portfolio Investments by Category 12 5 Fund Portfolio Investments by Currency 24 6 Fund Portfolio Investments by Country 25 7 Fund Derivative Investments 27 8 Liquidity Classifcations 31 9 Fair Value Levels 35 10 Interest Rate Risk 41 11 Securities Lending 43 12 Borrowing 47 13 Appendices 48 3 April 18, 2024 1 Analytics Ofce Number of Funds1 Table 1.1: Number of Funds, by Fund Type and Prevalent Asset Class This table includes fund of funds. “Fund of fund” is defned in the appendix. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Multi-Asset Taxable Bond Global Equity Municipal Bond Subtotal US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Subtotal Taxable Bond Multi-Asset Municipal Bond US Equity Global Equity Subtotal Total Oct 2022 3,005 2,260 1,819 1,407 558 9,049 1,220 675 551 337 67 2,850 197 189 120 89 54 649 12,548 Nov 2022 3,004 2,257 1,826 1,406 556 9,049 1,230 683 558 342 66 2,879 197 191 119 90 54 651 12,579 Dec 2022 3,005 2,240 1,835 1,406 556 9,042 1,240 688 565 342 66 2,901 197 190 119 90 54 650 12,593 Jan 2023 3,015 2,220 1,843 1,405 551 9,034 1,244 685 573 353 66 2,921 199 191 119 89 54 652 12,607 Feb 2023 3,011 2,214 1,838 1,403 555 9,021 1,255 684 569 352 68 2,928 200 190 119 89 54 652 12,601 Mar 2023 3,011 2,209 1,834 1,401 555 9,010 1,264 686 576 356 70 2,952 201 189 118 92 52 652 12,614 Apr 2023 3,003 2,198 1,827 1,402 557 8,987 1,266 683 582 353 70 2,954 202 187 117 89 52 647 12,588 May 2023 2,990 2,217 1,831 1,402 555 8,995 1,269 686 591 352 72 2,970 204 184 117 92 52 649 12,614 Jun 2023 2,989 2,180 1,827 1,405 554 8,955 1,278 688 602 346 72 2,986 209 184 117 93 51 654 12,595 Jul 2023 2,990 2,188 1,811 1,404 553 8,946 1,280 687 612 351 75 3,005 206 182 116 93 51 648 12,599 Aug 2023 2,985 2,170 1,807 1,405 550 8,917 1,303 689 618 347 76 3,033 202 182 118 92 51 645 12,595 Sep 2023 2,995 2,159 1,802 1,406 546 8,908 1,323 694 642 351 78 3,088 201 192 118 88 52 651 12,647 Table 1.2: Number of Index and Non-Index Funds, by Prevalent Asset Class This table includes fund of funds. “Fund of fund” is defned in the appendix. Index fund indication drawn from Form N-CEN, Item C.3. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Multi-Asset Taxable Bond Global Equity Municipal Bond Subtotal US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Subtotal Total Oct 2022 3,209 2,534 2,087 1,481 704 10,015 1,105 655 480 252 *** 2,533 12,548 Nov 2022 3,218 2,537 2,102 1,483 701 10,041 1,106 660 479 253 40 2,538 12,579 Dec 2022 3,227 2,524 2,116 1,489 702 10,058 1,108 659 481 248 *** 2,535 12,593 Jan 2023 3,239 2,509 2,128 1,489 697 10,062 1,109 655 487 255 *** 2,545 12,607 Feb 2023 3,243 2,503 2,125 1,488 702 10,061 1,112 653 482 253 40 2,540 12,601 Mar 2023 3,255 2,497 2,130 1,487 701 10,070 1,112 652 481 257 42 2,544 12,614 Apr 2023 3,249 2,488 2,133 1,489 702 10,061 1,109 648 478 250 42 2,527 12,588 May 2023 3,244 2,505 2,146 1,492 701 10,088 1,107 648 480 248 43 2,526 12,614 Jun 2023 3,250 2,465 2,156 1,498 700 10,069 1,110 646 482 245 43 2,526 12,595 Jul 2023 3,251 2,476 2,147 1,500 701 10,075 1,112 642 482 245 43 2,524 12,599 Aug 2023 3,263 2,459 2,145 1,500 701 10,068 1,117 645 482 240 43 2,527 12,595 Sep 2023 3,278 2,470 2,154 1,506 699 10,107 1,128 646 491 232 43 2,540 12,647 1 “Mutual Funds” exclude ETFs. “Closed-End Funds” include interval funds and non-traded funds registered on Form N-2. Please see Appendix 13.5 for defnitions of other capitalized terms used in this report. 4 April 18, 2024 2 Analytics Ofce Total Fund Assets2 Table 2.1: Aggregate Total Assets ($Billions), by Fund Type and Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive total assets (Form N-PORT, Item B.1.a). Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Subtotal Total Oct 2022 8,857 4,007 2,676 1,516 757 17,813 4,016 1,214 980 94 68 6,372 141 89 80 86 25 421 24,606 Nov 2022 9,271 4,112 2,958 1,602 777 18,720 4,247 1,251 1,118 103 71 6,790 143 90 86 87 27 433 25,942 Dec 2022 8,699 4,004 2,819 1,514 758 17,794 4,009 1,251 1,092 106 67 6,524 142 87 81 87 26 423 24,740 Jan 2023 9,275 4,112 3,030 1,584 787 18,789 4,273 1,307 1,204 109 72 6,965 144 90 87 89 27 438 26,192 Feb 2023 9,025 4,035 2,923 1,527 769 18,280 4,161 1,289 1,160 105 79 6,794 143 87 84 87 26 427 25,501 Mar 2023 9,179 4,165 3,010 1,567 778 18,700 4,218 1,343 1,191 107 71 6,931 144 87 86 87 27 431 26,061 Apr 2023 9,244 4,113 3,040 1,567 780 18,744 4,256 1,370 1,208 108 66 7,008 144 87 85 87 26 429 26,180 May 2023 9,199 4,090 2,954 1,536 771 18,549 4,257 1,368 1,173 108 70 6,976 143 86 85 86 26 426 25,951 Jun 2023 9,760 4,072 3,088 1,568 776 19,263 4,572 1,370 1,220 109 77 7,348 145 88 88 86 27 435 27,046 Jul 2023 10,056 4,087 3,181 1,602 779 19,705 4,776 1,380 1,278 111 83 7,627 146 89 91 86 27 440 27,771 Aug 2023 9,808 4,082 3,067 1,556 768 19,280 4,674 1,370 1,222 111 83 7,460 147 91 86 85 26 436 27,177 Sep 2023 9,319 4,027 2,947 1,497 743 18,533 4,475 1,356 1,182 109 71 7,192 149 91 82 82 25 429 26,155 Table 2.2: Aggregate Index Fund and Non-Index Fund Total Assets ($Billions), by Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive total assets (Form N-PORT, Item B.1.a). Index fund indication drawn from Form N-CEN, Item C.3. Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal Total Oct 2022 5,619 3,437 2,141 1,564 850 13,611 7,334 1,925 1,541 109 *** 10,995 24,606 Nov 2022 5,880 3,508 2,353 1,649 872 14,261 7,724 1,997 1,750 115 95 11,681 25,942 Dec 2022 5,509 3,403 2,238 1,560 853 13,563 7,281 1,994 1,698 107 *** 11,178 24,740 Jan 2023 5,862 3,489 2,407 1,630 885 14,271 7,774 2,075 1,855 117 *** 11,921 26,192 Feb 2023 5,702 3,427 2,326 1,567 864 13,886 7,567 2,041 1,784 126 97 11,616 25,501 Mar 2023 5,776 3,532 2,393 1,606 873 14,179 7,708 2,121 1,835 119 99 11,882 26,061 Apr 2023 5,807 3,470 2,416 1,606 875 14,173 7,779 2,156 1,860 114 99 12,007 26,180 May 2023 5,774 3,457 2,343 1,575 865 14,014 7,767 2,144 1,811 116 99 11,936 25,951 Jun 2023 6,114 3,438 2,449 1,607 871 14,479 8,307 2,149 1,885 126 100 12,567 27,046 Jul 2023 6,297 3,448 2,519 1,643 875 14,783 8,625 2,164 1,966 131 102 12,988 27,771 Aug 2023 6,135 3,446 2,429 1,598 864 14,471 8,433 2,154 1,886 131 101 12,706 27,177 Sep 2023 5,829 3,420 2,329 1,543 835 13,956 8,046 2,112 1,826 116 99 12,199 26,155 2 As of September 2023, there are 13 N-3 funds reporting an aggregate $221.22 billion in net assets (roughly 1.03% of aggregate mutual fund net assets). Additionally, there are 84 Interval funds registered on Form N-2 reporting an aggregate $71.70 billion in net assets (roughly 20.57% of aggregate closed-end fund net assets). 5 April 18, 2024 Analytics Ofce Table 2.3: Aggregate Net Assets ($Billions), by Fund Type and Prevalent Asset Class This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Subtotal Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Subtotal Total Oct 2022 8,742 3,615 2,632 1,415 733 17,137 3,939 1,141 952 93 57 6,181 95 76 69 52 21 313 23,632 Nov 2022 9,171 3,693 2,910 1,495 754 18,023 4,179 1,183 1,090 102 63 6,617 97 77 73 56 23 326 24,966 Dec 2022 8,610 3,634 2,779 1,433 737 17,193 3,935 1,182 1,066 105 57 6,346 96 75 69 55 22 317 23,856 Jan 2023 9,173 3,753 2,991 1,499 765 18,181 4,200 1,237 1,175 108 62 6,782 99 78 73 58 24 332 25,295 Feb 2023 8,925 3,705 2,881 1,449 750 17,711 4,086 1,218 1,132 104 59 6,599 99 76 71 56 22 324 24,633 Mar 2023 9,078 3,750 2,955 1,464 759 18,007 4,148 1,263 1,160 107 63 6,741 98 75 72 56 23 325 25,073 Apr 2023 9,141 3,766 2,989 1,474 758 18,129 4,189 1,282 1,180 107 62 6,819 99 76 73 56 23 327 25,275 May 2023 9,097 3,736 2,910 1,439 751 17,934 4,190 1,280 1,144 107 64 6,785 99 75 72 56 22 323 25,042 Jun 2023 9,653 3,745 3,046 1,480 756 18,680 4,500 1,290 1,192 108 71 7,162 101 76 75 56 23 331 26,173 Jul 2023 9,954 3,772 3,144 1,504 758 19,132 4,702 1,302 1,248 110 76 7,439 103 77 77 56 24 337 26,907 Aug 2023 9,716 3,759 3,027 1,463 748 18,714 4,606 1,297 1,193 110 77 7,282 103 78 73 55 23 332 26,328 Sep 2023 9,226 3,677 2,903 1,406 723 17,934 4,400 1,280 1,152 108 66 7,006 103 78 69 52 22 324 25,265 Table 2.4: Aggregate Index Fund and Non-Index Fund Net Assets ($Billions) This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Index fund indication drawn from Form N-CEN, Item C.3. Because funds can invest a limited amount in other funds without being considered a fund of fund, there is some limited amount of double-counting of assets. Fund Type Non-Index Index Total Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Subtotal Total Oct 2022 5,523 2,999 2,100 1,450 792 12,863 7,227 1,852 1,506 98 *** 10,769 23,632 Nov 2022 5,791 3,050 2,310 1,528 818 13,497 7,632 1,923 1,714 107 94 11,469 24,966 Dec 2022 5,429 2,997 2,202 1,467 801 12,895 7,186 1,915 1,665 98 *** 10,961 23,856 Jan 2023 5,771 3,093 2,372 1,532 831 13,598 7,675 1,997 1,818 107 *** 11,697 25,295 6 Feb 2023 5,614 3,058 2,288 1,478 814 13,252 7,468 1,964 1,747 106 96 11,381 24,633 Mar 2023 5,686 3,077 2,347 1,491 824 13,426 7,612 2,034 1,792 112 98 11,647 25,073 Apr 2023 5,715 3,085 2,370 1,503 823 13,496 7,688 2,062 1,822 109 99 11,778 25,275 May 2023 5,685 3,059 2,303 1,467 815 13,329 7,675 2,056 1,773 111 98 11,713 25,042 Jun 2023 6,020 3,067 2,412 1,508 821 13,828 8,207 2,069 1,849 120 100 12,345 26,173 Jul 2023 6,204 3,090 2,486 1,533 824 14,137 8,529 2,087 1,930 125 101 12,770 26,907 Aug 2023 6,051 3,081 2,394 1,493 813 13,832 8,344 2,078 1,849 125 100 12,496 26,328 Sep 2023 5,745 3,021 2,290 1,439 785 13,280 7,950 2,038 1,786 111 98 11,984 25,265 April 18, 2024 Analytics Ofce Table 2.5: Aggregate Net Assets ($Billions), by Fund Type and Bucketed by Net Assets This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). See the appendix for a review of interval notation used here. Fund Size $10 billion or more [$500 million,$10 billion) [$50 million,$500 million) ($0,$50 million) Total Fund Type Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Total Oct 2022 10,472 *** *** 14,974 6,016 1,500 219 7,735 620 174 81 875 29 18 1 47 23,632 Nov 2022 11,204 *** *** 16,069 6,178 1,573 232 7,984 613 173 80 866 28 18 1 47 24,966 Dec 2022 10,589 4,609 23 15,222 5,959 1,542 213 7,714 617 176 80 873 29 18 1 48 23,856 Jan 2023 11,315 *** *** 16,349 6,229 1,575 229 8,033 610 179 78 866 28 18 1 47 25,295 Feb 2023 10,979 *** *** 15,814 6,087 1,587 218 7,891 617 182 81 880 28 18 1 48 24,633 Mar 2023 11,243 4,952 25 16,220 6,127 1,590 221 7,938 608 181 78 868 28 18 1 48 25,073 Apr 2023 11,364 *** *** 16,423 6,132 1,584 222 7,938 606 183 79 868 27 18 1 46 25,275 May 2023 11,248 *** *** 16,286 6,047 1,570 217 7,834 611 184 80 876 28 18 1 48 25,042 Jun 2023 11,876 5,329 26 17,231 6,174 1,625 225 8,025 603 188 79 870 27 19 1 47 26,173 Jul 2023 12,249 *** *** 17,837 6,259 1,669 232 8,159 598 190 77 866 26 18 1 45 26,907 Aug 2023 11,969 *** *** 17,410 6,112 1,658 225 7,995 606 192 79 878 26 18 1 46 26,328 Sep 2023 11,370 5,188 28 16,586 5,928 1,609 215 7,751 610 190 80 880 27 19 1 47 25,265 Table 2.6: Number of Funds, by Fund Type and Bucketed by Net Assets This table excludes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). See the appendix for a review of interval notation used here. Fund Size $10 billion or more [$500 million,$10 billion) [$50 million,$500 million) ($0,$50 million) Total Fund Type Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Mutual Fund ETF Closed-End Fund Subtotal Total Oct 2022 279 *** *** 398 2,765 620 169 3,554 2,877 917 359 4,153 1,441 1,053 48 2,542 10,647 Nov 2022 294 *** *** 419 2,826 644 179 3,649 2,838 918 349 4,105 1,404 1,049 50 2,503 10,676 Dec 2022 283 121 2 406 2,768 634 172 3,574 2,861 929 353 4,143 1,454 1,074 53 2,581 10,704 Jan 2023 294 *** *** 427 2,844 649 185 3,678 2,820 938 346 4,104 1,408 1,060 49 2,517 10,726 7 Feb 2023 289 *** *** 417 2,796 649 175 3,620 2,840 947 356 4,143 1,428 1,068 49 2,545 10,725 Mar 2023 291 128 2 421 2,806 657 179 3,642 2,822 949 350 4,121 1,424 1,079 51 2,554 10,738 Apr 2023 292 *** *** 424 2,806 659 178 3,643 2,822 957 351 4,130 1,394 1,064 45 2,503 10,700 May 2023 289 *** *** 420 2,769 653 173 3,595 2,824 972 357 4,153 1,429 1,070 46 2,545 10,713 Jun 2023 301 132 2 435 2,817 667 180 3,664 2,793 987 353 4,133 1,363 1,054 48 2,465 10,697 Jul 2023 307 *** *** 445 2,846 684 183 3,713 2,779 1,007 346 4,132 1,330 1,031 45 2,406 10,696 Aug 2023 304 *** *** 439 2,796 680 177 3,653 2,808 1,020 352 4,180 1,334 1,053 43 2,430 10,702 Sep 2023 294 132 2 428 2,740 676 170 3,586 2,826 1,012 358 4,196 1,369 1,116 49 2,534 10,744 April 18, 2024 Analytics Ofce Table 2.7: Distribution of Net Assets, by Fund Type ($Billions) This exhibit includes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Fund Type Mutual Fund ETF Closed-End Fund Percentile 10th 25th 50th 75th 90th 10th 25th 50th 75th 90th 10th 25th 50th 75th 90th Oct 2022 0.017 0.073 0.321 1.161 3.859 0.005 0.021 0.103 0.564 3.083 0.045 0.111 0.254 0.545 1.204 Nov 2022 0.017 0.078 0.340 1.222 4.034 0.005 0.021 0.106 0.591 3.287 0.047 0.115 0.263 0.569 1.253 Dec 2022 0.017 0.074 0.326 1.156 3.848 0.005 0.021 0.102 0.566 3.159 0.047 0.113 0.256 0.564 1.212 Jan 2023 0.018 0.080 0.344 1.232 4.097 0.005 0.022 0.109 0.598 3.301 0.049 0.117 0.267 0.579 1.273 Feb 2023 0.017 0.078 0.336 1.203 3.960 0.005 0.022 0.110 0.586 3.224 0.049 0.116 0.257 0.571 1.276 Mar 2023 0.017 0.078 0.338 1.207 4.040 0.005 0.022 0.111 0.584 3.278 0.047 0.115 0.259 0.570 1.293 Apr 2023 0.018 0.079 0.341 1.221 4.064 0.005 0.022 0.114 0.593 3.308 0.051 0.119 0.256 0.575 1.301 May 2023 0.016 0.076 0.331 1.192 4.045 0.005 0.022 0.111 0.575 3.231 0.050 0.114 0.254 0.566 1.290 Jun 2023 0.017 0.080 0.344 1.242 4.202 0.006 0.024 0.114 0.596 3.370 0.043 0.113 0.256 0.575 1.330 Jul 2023 0.018 0.082 0.349 1.273 4.307 0.006 0.025 0.119 0.618 3.511 0.044 0.114 0.263 0.586 1.363 Aug 2023 0.018 0.081 0.342 1.244 4.188 0.006 0.024 0.112 0.602 3.345 0.051 0.117 0.259 0.577 1.367 Sep 2023 0.017 0.077 0.330 1.195 4.047 0.005 0.022 0.107 0.565 3.147 0.047 0.108 0.246 0.565 1.310 Table 2.8: Percent of Aggregate Net Assets Reported, by Fund Type and Cumulative Percentile This exhibit includes fund of funds and removes any observations with non-positive net assets (Form N-PORT, Item B.1.c). Fund Type All Funds Mutual Fund ETF Closed-End Fund Percentile Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Oct 2022 52.92 68.01 79.60 92.13 49.33 64.56 76.75 90.62 *** 75.82 87.21 96.38 20.49 33.27 47.43 70.62 Nov 2022 53.12 68.18 79.71 92.17 49.52 64.75 76.84 90.63 *** 75.74 87.21 96.44 20.93 32.98 47.49 70.43 Dec 2022 53.08 68.21 79.73 92.16 49.55 64.81 76.88 90.63 *** 75.78 87.22 96.41 *** 33.05 47.39 70.38 Jan 2023 53.15 68.25 79.76 92.18 49.61 64.86 76.88 90.64 *** 75.66 87.22 96.42 21.03 32.80 47.27 70.52 Feb 2023 53.14 68.24 79.75 92.16 49.55 64.88 76.93 90.64 *** 75.40 87.00 96.33 21.14 32.88 47.35 70.57 8 Mar 2023 53.49 68.55 80.00 92.29 49.89 65.22 77.17 90.76 *** 75.76 87.27 96.39 *** 33.23 47.71 70.77 Apr 2023 53.56 68.68 80.07 92.31 50.05 65.31 77.24 90.80 *** 75.85 87.30 96.37 20.67 33.40 47.57 70.70 May 2023 53.84 68.92 80.27 92.41 50.26 65.55 77.45 90.91 *** 76.12 87.46 96.42 20.67 33.43 47.66 70.91 Jun 2023 53.97 69.07 80.38 92.44 50.33 65.65 77.50 90.90 *** 76.33 87.56 96.43 *** 33.35 48.09 71.15 Jul 2023 54.09 69.18 80.46 92.48 50.48 65.75 77.60 90.94 *** 76.26 87.52 96.41 20.63 33.43 47.80 71.33 Aug 2023 54.13 69.25 80.50 92.49 50.46 65.83 77.64 90.95 *** 76.34 87.59 96.42 20.65 33.47 47.88 71.26 Sep 2023 54.15 69.30 80.53 92.52 50.44 65.79 77.62 90.94 *** 76.55 87.71 96.47 *** 33.81 48.42 71.60 April 18, 2024 Analytics Ofce 3 Flows and Returns 3.1 Fund Flows Table 3.1: Aggregate Infows, Outfows, and Net Flows of Index and NonIndex Funds ($Billions) This table excludes fows from fund of funds (Form N-PORT, Item B.6), index fund indication drawn from Form N-CEN, Item C.3. Since both ETFs and Mutual Funds can be index funds, both contribute to the rows in this table. Fund Type All Index Non-Index Flow Type Infow Net Outfow Infow Net Outfow Infow Net Outfow Oct 2022 660 -19 -679 375 83 -293 285 -102 -386 Nov 2022 688 -18 -706 381 73 -307 307 -91 -398 Dec 2022 716 -119 -834 384 34 -350 332 -152 -484 Jan 2023 628 17 -610 321 42 -279 307 -25 -332 Feb 2023 559 -1 -560 271 0 -271 288 -1 -288 Mar 2023 705 -28 -733 428 32 -396 276 -60 -336 Apr 2023 502 -8 -510 268 32 -236 234 -40 -274 May 2023 566 -24 -590 306 26 -280 260 -50 -309 Jun 2023 699 25 -674 426 60 -366 273 -35 -308 Jul 2023 619 26 -593 373 55 -319 246 -29 -275 Aug 2023 571 -33 -605 307 9 -299 264 -42 -306 Sep 2023 580 -20 -600 346 31 -315 234 -51 -285 Table 3.2: Aggregate Infows, Outfows, and Net Flows of Index and NonIndex Funds (Percent of Net Assets) This table excludes fows from fund of funds (Form N-PORT, Item B.6), index fund indication drawn from Form N-CEN, Item C.3. Since both ETFs and Mutual Funds can be index funds, both contribute to the rows in this table. Percentages are calculated using lagged net assets (Form N-PORT, Item B.1.c.). Fund Type All Index Non-Index Flow Type Infow Net Outfow Infow Net Outfow Infow Net Outfow Oct 2022 2.97 -0.09 -3.06 3.72 0.82 -2.90 2.35 -0.84 -3.19 Nov 2022 2.95 -0.08 -3.03 3.54 0.68 -2.86 2.45 -0.73 -3.17 Dec 2022 2.91 -0.48 -3.39 3.35 0.29 -3.05 2.52 -1.16 -3.68 Jan 2023 2.67 0.07 -2.59 2.93 0.38 -2.54 2.44 -0.20 -2.64 Feb 2023 2.24 -0.00 -2.24 2.32 -0.00 -2.32 2.17 -0.00 -2.18 9 Mar 2023 2.90 -0.11 -3.01 3.76 0.28 -3.48 2.14 -0.46 -2.60 Apr 2023 2.03 -0.03 -2.06 2.30 0.28 -2.02 1.79 -0.31 -2.09 May 2023 2.27 -0.10 -2.36 2.60 0.22 -2.38 1.97 -0.38 -2.35 Jun 2023 2.83 0.10 -2.73 3.64 0.51 -3.12 2.10 -0.27 -2.37 Jul 2023 2.40 0.10 -2.30 3.02 0.44 -2.58 1.82 -0.22 -2.04 Aug 2023 2.15 -0.13 -2.28 2.41 0.07 -2.34 1.91 -0.30 -2.22 Sep 2023 2.23 -0.08 -2.31 2.77 0.25 -2.52 1.73 -0.38 -2.11 April 18, 2024 Analytics Ofce Table 3.3: Aggregate Net Flows, by Prevalent Asset Class and Fund Type ($Billions) This table excludes fows from fund of funds (Form N-PORT, Item B.6). Closed-End Funds generally do not report fows and are therefore excluded. Fund Type ETF Mutual Fund Total Prevalent Asset Class US Equity Taxable Bond Municipal Bond Multi-Asset Global Equity Subtotal Municipal Bond Global Equity Taxable Bond Multi-Asset US Equity Subtotal Total Oct 2022 53 25 6 1 10 94 -18 -17 -41 -9 -28 -113 -19 Nov 2022 27 19 6 -1 15 66 -10 -24 -23 -5 -21 -84 -18 Dec 2022 12 14 4 2 11 43 -16 -45 -40 -15 -46 -162 -119 Jan 2023 1 28 0 -3 21 46 8 -15 16 -2 -35 -29 17 Feb 2023 -7 3 -1 0 8 3 2 -3 22 -2 -22 -4 -1 Mar 2023 3 26 0 1 0 31 -3 -5 -20 -8 -24 -59 -28 Apr 2023 11 16 1 0 3 31 -1 -11 -2 -7 -17 -39 -8 May 2023 16 14 1 -1 5 34 -2 -6 1 -9 -41 -58 -24 Jun 2023 43 16 1 1 11 72 0 -6 8 -6 -44 -47 25 Jul 2023 38 14 1 -1 7 59 1 -7 16 -7 -36 -33 26 Aug 2023 3 7 1 2 1 15 -2 -4 4 -10 -37 -48 -33 Sep 2023 27 10 1 1 1 39 -6 -6 -8 -9 -31 -59 -20 Table 3.4: Aggregate Net Flows, by Prevalent Asset Class and Fund Type (Percent) This table excludes fows from fund of funds (Form N-PORT, Item B.6). Closed-End Funds generally do not report fows and are therefore excluded. Percentages are calculated using lagged net assets (Form N-PORT, Item B.1.c.). Fund Type ETF Mutual Fund Total Prevalent Asset Class Municipal Bond Multi-Asset Taxable Bond US Equity Global Equity Subtotal Global Equity Taxable Bond US Equity Multi-Asset Municipal Bond Subtotal Total Oct 2022 6.93 1.89 2.20 1.48 1.04 1.64 -0.66 -1.12 -0.35 -0.68 -2.32 -0.69 -0.09 Nov 2022 6.12 -2.07 1.67 0.69 1.57 1.07 -0.92 -0.64 -0.24 -0.36 -1.36 -0.49 -0.08 Dec 2022 3.77 2.74 1.19 0.30 1.03 0.66 -1.54 -1.08 -0.50 -1.02 -2.17 -0.90 -0.48 Jan 2023 -0.09 -5.67 2.35 0.02 1.98 0.73 -0.55 0.45 -0.41 -0.16 1.03 -0.17 0.07 10 Feb 2023 -0.75 0.43 0.20 -0.18 0.70 0.04 -0.10 0.57 -0.24 -0.16 0.24 -0.02 -0.00 Mar 2023 0.46 1.82 2.16 0.08 -0.00 0.47 -0.16 -0.54 -0.27 -0.56 -0.34 -0.33 -0.11 Apr 2023 0.62 -0.45 1.29 0.26 0.30 0.46 -0.37 -0.06 -0.19 -0.49 -0.11 -0.22 -0.03 May 2023 0.50 -2.05 1.07 0.38 0.46 0.50 -0.22 0.02 -0.45 -0.64 -0.20 -0.32 -0.10 Jun 2023 1.11 1.69 1.23 1.02 1.00 1.06 -0.19 0.22 -0.48 -0.41 0.02 -0.26 0.10 Jul 2023 1.16 -1.13 1.06 0.84 0.57 0.82 -0.22 0.43 -0.38 -0.48 0.12 -0.18 0.10 Aug 2023 0.93 3.15 0.52 0.07 0.11 0.20 -0.13 0.11 -0.37 -0.64 -0.24 -0.25 -0.13 Sep 2023 1.03 0.85 0.76 0.58 0.05 0.53 -0.19 -0.20 -0.32 -0.61 -0.74 -0.31 -0.08 April 18, 2024 3.2 Analytics Ofce Total Returns Table 3.5: Median Total Return of Index and Non-Index Funds, by Prevalent Asset Class (Percent) This table relies on Form N-PORT Item B.5 and excludes fund of funds. Index fund indication is drawn from Form N-CEN, Item C.3. Fund Type All Index Non-Index Prevalent Asset Class Taxable Bond Municipal Bond Multi-Asset Global Equity US Equity Taxable Bond Municipal Bond Global Equity US Equity Multi-Asset Taxable Bond Municipal Bond Multi-Asset Global Equity US Equity Oct 2022 -0.18 -0.91 3.36 4.48 8.26 -0.47 *** 3.87 8.84 4.66 -0.11 -0.93 3.24 4.60 8.12 Nov 2022 2.44 4.66 4.54 11.60 5.32 2.04 *** 11.56 5.56 5.45 2.54 4.67 4.48 11.63 5.20 Dec 2022 -0.28 -0.02 -2.74 -2.40 -5.40 -0.30 *** -1.91 -5.80 -6.02 -0.28 -0.02 -2.62 -2.61 -5.23 Jan 2023 3.02 2.86 4.67 8.32 7.23 2.50 *** 8.21 7.35 9.27 3.11 2.89 4.45 8.36 7.20 Feb 2023 -1.61 -2.28 -2.46 -3.48 -2.33 -1.57 *** -3.57 -2.44 -3.15 -1.62 -2.28 -2.38 -3.47 -2.26 Mar 2023 1.23 1.81 1.39 2.44 0.29 1.90 *** 2.33 0.53 1.82 1.13 1.80 1.38 2.49 0.24 Apr 2023 0.58 -0.07 0.80 1.26 0.52 0.57 -0.21 1.54 0.45 0.30 0.58 -0.06 0.83 1.17 0.55 May 2023 -0.86 -0.76 -1.00 -3.32 -1.47 -0.95 *** -3.83 -1.76 -1.44 -0.84 -0.76 -0.96 -3.15 -1.40 Jun 2023 0.32 0.79 3.38 4.45 6.68 -0.19 *** 4.47 6.79 6.40 0.39 0.79 3.23 4.44 6.61 Jul 2023 0.56 0.23 2.05 3.43 3.36 0.31 0.21 4.07 3.58 4.23 0.62 0.23 1.94 3.19 3.23 Aug 2023 -0.24 -1.16 -1.61 -3.92 -2.27 -0.02 -1.01 -4.05 -2.55 -3.33 -0.30 -1.17 -1.51 -3.80 -2.20 Sep 2023 -1.42 -2.78 -3.36 -3.85 -4.81 -1.30 -2.57 -3.45 -4.97 -5.18 -1.44 -2.79 -3.22 -4.03 -4.74 Table 3.6: Weighted-Average Total Return of Index and Non-Index Funds, by Prevalent Asset Class (Percent) This table relies on Form N-PORT Item B.5 and excludes fund of funds, index fund indication drawn from Form N-CEN, Item C.3. Total returns are weighted by lagged fund net assets from Form N-PORT, Item B.1.c. Fund Type All Index Non-Index Prevalent Asset Class Taxable Bond Municipal Bond Multi-Asset Global Equity US Equity Taxable Bond Municipal Bond Global Equity US Equity Multi-Asset Taxable Bond Municipal Bond Multi-Asset Global Equity US Equity Oct 2022 -0.47 -0.99 4.30 3.90 8.08 -0.84 *** 3.24 8.45 6.24 -0.25 -1.03 4.19 4.38 7.60 Nov 2022 2.78 4.51 5.35 12.09 5.40 2.86 *** 13.16 5.42 8.54 2.72 4.55 5.13 11.32 5.38 Dec 2022 -0.49 -0.11 -2.92 -2.64 -5.50 -0.65 *** -2.08 -5.73 -9.21 -0.39 -0.12 -2.48 -3.06 -5.20 Jan 2023 2.79 2.87 4.76 8.32 6.84 2.65 *** 8.38 6.85 12.09 2.87 2.90 4.27 8.26 6.83 11 Feb 2023 -1.85 -2.24 -2.79 -3.86 -2.46 -2.04 *** -4.26 -2.44 -3.51 -1.73 -2.26 -2.74 -3.55 -2.48 Mar 2023 1.69 1.73 1.89 2.68 1.91 2.23 *** 2.71 2.10 5.59 1.35 1.69 1.62 2.66 1.66 Apr 2023 0.52 -0.04 1.11 1.36 0.83 0.50 -0.20 1.55 0.87 -0.64 0.53 -0.02 1.24 1.22 0.78 May 2023 -0.91 -0.72 -1.11 -3.00 -0.08 -0.98 *** -3.44 -0.11 4.53 -0.87 -0.72 -1.52 -2.66 -0.04 Jun 2023 0.07 0.77 3.56 4.62 6.62 -0.26 *** 4.45 6.81 8.85 0.30 0.77 3.17 4.75 6.36 Jul 2023 0.33 0.21 2.29 3.59 3.51 -0.01 0.19 3.98 3.58 5.62 0.56 0.22 2.02 3.29 3.41 Aug 2023 -0.40 -1.15 -1.80 -4.08 -2.06 -0.46 -0.95 -4.42 -2.07 -4.70 -0.37 -1.18 -1.56 -3.82 -2.03 Sep 2023 -1.80 -2.70 -3.48 -3.79 -4.72 -2.05 -2.44 -3.33 -4.81 -7.75 -1.63 -2.74 -3.12 -4.14 -4.60 April 18, 2024 Analytics Ofce 4 Fund Portfolio Investments by Category 4.1 All Funds Table 4.1: Aggregate Gross Value of Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Loan Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Rate Derivative Preferred Equity Cash Private Fund Equity Derivative Other Debt FX Derivative Structured Note Other Types Commodity Derivative Commodity Credit Derivative Asset-Backed CP Other Derivative Total Oct 2022 17,536 2,210 2,102 1,657 1,192 952 856 334 212 159 153 117 131 110 95 79 75 57 28 20 16 6 *** 5 *** 3 28,116 Nov 2022 18,728 2,345 2,181 1,692 1,240 987 838 356 207 160 153 114 97 111 88 75 76 57 40 22 16 7 *** 5 *** 3 29,606 Dec 2022 17,736 2,249 2,138 1,684 1,229 974 772 346 198 159 150 116 101 105 89 74 67 57 30 20 16 7 *** 4 *** 2 28,334 Jan 2023 18,981 2,386 2,230 1,741 1,243 1,005 806 362 198 157 152 109 90 113 89 76 72 58 26 22 16 8 *** 5 *** 2 29,956 Feb 2023 18,407 2,310 2,169 1,740 1,199 982 803 349 194 157 154 123 94 108 88 77 63 55 31 22 16 6 *** 4 *** 2 29,161 12 Mar 2023 18,748 2,360 2,183 1,805 1,293 993 798 362 186 156 155 126 92 104 87 77 71 60 24 20 16 6 *** 4 *** 2 29,739 Apr 2023 18,911 2,389 2,198 1,797 1,272 995 832 367 186 156 156 122 87 103 88 78 68 65 24 20 16 7 *** 4 *** 2 29,951 May 2023 18,729 2,355 2,182 1,770 1,303 986 797 358 179 157 157 109 84 101 87 76 70 62 36 20 16 8 *** 4 *** 1 29,656 Jun 2023 19,862 2,441 2,195 1,777 1,301 994 775 368 182 159 158 120 90 103 84 78 77 58 25 21 16 6 *** 5 *** 1 30,904 Jul 2023 20,567 2,491 2,209 1,788 1,309 999 786 372 185 161 159 114 92 104 79 79 86 58 21 21 17 7 *** 5 *** 1 31,721 Aug 2023 20,002 2,440 2,192 1,791 1,316 985 770 365 185 162 163 106 85 100 74 79 74 56 25 21 17 6 *** 4 *** 1 31,031 Sep 2023 19,063 2,341 2,141 1,765 1,302 952 777 353 190 166 165 103 97 96 86 79 68 56 25 22 17 10 *** 3 *** 1 29,886 April 18, 2024 Analytics Ofce Table 4.2: Number of Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Loan Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Rate Derivative Preferred Equity Cash Private Fund Equity Derivative Other Debt FX Derivative Structured Note Other Types Commodity Derivative Commodity Credit Derivative Asset-Backed CP Other Derivative Total Oct 2022 7,095 2,381 2,261 1,697 1,186 823 2,338 472 382 481 490 556 336 264 758 446 621 161 96 25 24 36 *** 10 *** 13 12,548 Nov 2022 7,111 2,379 2,253 1,689 1,208 826 2,183 477 370 481 479 519 256 244 722 423 612 159 132 26 21 37 *** *** *** 16 12,579 Dec 2022 7,115 2,344 2,255 1,742 1,197 823 2,169 473 374 486 478 520 270 245 702 435 569 167 95 26 *** 41 12 *** *** *** 12,593 Jan 2023 7,130 2,358 2,263 1,767 1,196 811 2,128 467 371 474 473 508 227 244 709 433 594 159 83 *** 22 46 *** *** *** 14 12,607 Feb 2023 7,125 2,328 2,257 1,762 1,197 812 2,186 474 374 478 479 532 231 245 665 445 561 166 88 24 18 44 *** *** *** 15 12,601 13 Mar 2023 7,119 2,354 2,241 1,776 1,205 813 2,161 472 372 473 482 529 225 234 645 437 594 188 65 24 *** 41 10 *** *** *** 12,614 Apr 2023 7,096 2,353 2,232 1,780 1,194 806 2,126 459 373 467 487 508 211 231 617 445 576 200 80 23 17 47 *** *** *** 12 12,588 May 2023 7,094 2,328 2,243 1,762 1,211 807 2,060 455 373 477 488 490 192 230 644 415 570 174 88 23 19 62 *** *** *** 13 12,614 Jun 2023 7,100 2,314 2,246 1,761 1,209 801 2,020 452 378 478 486 491 192 225 591 416 558 173 72 24 *** 47 10 *** *** *** 12,595 Jul 2023 7,102 2,312 2,241 1,775 1,214 801 1,945 457 376 484 495 462 190 219 589 422 619 170 76 25 27 55 *** *** *** 15 12,599 Aug 2023 7,107 2,294 2,242 1,801 1,220 799 1,891 452 381 493 499 473 177 232 557 422 580 160 79 25 22 39 *** 10 *** 13 12,595 Sep 2023 7,119 2,317 2,236 1,839 1,221 797 2,036 441 379 504 513 479 218 213 596 426 594 169 62 *** *** 48 10 *** *** *** 12,647 April 18, 2024 4.2 Analytics Ofce Mutual Funds3 Table 4.3: Aggregate Gross Value of Mutual Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Other Types Other Asset-Backed Security Collateralized Obligation Loan Repurchase Agreement Cash Preferred Equity Private Fund Total Oct 2022 12,579 2,165 1,632 1,147 1,063 776 695 259 272 146 145 153 93 73 63 25 21,285 Nov 2022 13,391 2,297 1,687 1,171 1,107 798 681 277 253 147 145 149 90 67 63 23 22,346 Dec 2022 12,666 2,202 1,648 1,163 1,095 783 611 269 237 144 144 144 96 67 59 23 21,350 Jan 2023 13,530 2,338 1,712 1,206 1,101 808 636 279 230 145 142 143 86 72 62 23 22,513 Feb 2023 13,119 2,264 1,672 1,207 1,059 791 638 270 227 146 141 138 101 71 60 23 21,928 Mar 2023 13,368 2,313 1,687 1,236 1,146 800 628 281 227 147 140 131 103 65 58 22 22,354 Apr 2023 13,476 2,342 1,691 1,224 1,126 801 656 284 225 148 139 130 99 67 56 24 22,487 May 2023 13,331 2,308 1,679 1,197 1,155 793 624 277 231 148 140 125 88 66 55 23 22,240 Jun 2023 14,100 2,391 1,686 1,194 1,150 799 613 283 222 149 142 126 99 65 56 24 23,099 Jul 2023 14,545 2,439 1,694 1,206 1,157 801 619 286 226 149 143 128 93 62 56 24 23,626 Aug 2023 14,138 2,388 1,683 1,206 1,164 791 603 281 212 152 143 128 84 57 54 23 23,107 Sep 2023 13,454 2,292 1,646 1,174 1,151 762 612 272 222 154 145 130 81 66 51 23 22,235 Table 4.4: Number of Mutual Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Mutual Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt US Treasury Debt Mortgage-Backed Security Municipal Debt STIV Non US Sovereign Debt Other Types Other Asset-Backed Security Collateralized Obligation Loan Repurchase Agreement Cash Preferred Equity Private Fund Total Oct 2022 5,098 2,059 1,716 1,376 1,019 625 1,770 380 677 416 374 236 380 476 134 148 9,049 Nov 2022 5,089 2,053 1,714 1,355 1,036 628 1,641 386 646 405 372 226 354 460 128 140 9,049 Dec 2022 5,081 2,021 1,714 1,404 1,028 624 1,607 383 623 403 378 228 361 440 122 146 9,042 Jan 2023 5,091 2,027 1,715 1,422 1,022 613 1,595 376 583 397 366 224 336 443 122 137 9,034 Feb 2023 5,074 2,003 1,714 1,420 1,025 614 1,620 382 575 401 369 227 358 414 122 138 9,021 Mar 2023 5,078 2,025 1,709 1,439 1,033 614 1,573 382 616 403 362 224 363 388 114 128 9,010 Apr 2023 5,053 2,031 1,701 1,439 1,021 609 1,569 369 614 406 356 224 351 382 112 141 8,987 May 2023 5,048 2,007 1,706 1,411 1,035 608 1,493 365 576 406 364 224 339 388 109 130 8,995 Jun 2023 5,043 1,997 1,701 1,411 1,034 604 1,461 362 558 407 365 226 336 353 105 124 8,955 Jul 2023 5,041 1,993 1,697 1,414 1,034 600 1,403 363 595 411 365 223 316 338 102 137 8,946 Aug 2023 5,028 1,976 1,697 1,429 1,036 599 1,381 363 529 411 369 229 327 324 111 140 8,917 Sep 2023 5,019 1,992 1,685 1,441 1,034 595 1,464 355 582 424 377 226 334 342 102 135 8,908 3 “Mutual Funds” exclude ETFs. Please see Appendix 13.5 for a more detailed defnition and defnitions of other capitalized terms used in this report. 14 April 18, 2024 4.3 Analytics Ofce ETFs Table 4.5: Aggregate Gross Value of ETF Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity US Treasury Debt Corporate Debt STIV Mortgage-Backed Security Municipal Debt Non US Sovereign Debt Other Types Registered Fund Preferred Equity Cash Loan Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Total Oct 2022 4,831 505 411 151 110 93 71 71 37 37 16 13 7 4 8 6,365 Nov 2022 5,204 515 434 147 115 101 75 68 40 38 16 13 7 4 8 6,786 Dec 2022 4,946 516 431 152 117 104 73 65 38 35 17 12 7 4 5 6,523 Jan 2023 5,318 530 456 161 123 107 79 67 39 39 13 13 7 4 8 6,966 Feb 2023 5,160 528 437 156 121 104 75 65 38 38 13 12 8 5 8 6,766 Mar 2023 5,251 565 438 162 126 106 77 67 38 36 17 11 8 5 8 6,918 Apr 2023 5,306 569 449 167 127 107 79 67 39 36 17 11 8 5 9 6,995 May 2023 5,272 569 445 164 129 107 77 68 39 36 17 10 8 6 7 6,953 Jun 2023 5,631 578 451 152 132 109 80 75 41 37 15 11 9 6 7 7,332 Jul 2023 5,887 577 457 158 133 111 82 82 43 38 13 11 9 7 7 7,615 Aug 2023 5,733 581 451 157 133 110 80 76 43 36 12 11 10 7 7 7,448 Sep 2023 5,483 585 437 156 131 108 77 77 41 35 16 12 11 8 6 7,182 Table 4.6: Number of ETFs Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of ETFs, and not the sum of the preceding rows. Investment Type Common Equity US Treasury Debt Corporate Debt STIV Mortgage-Backed Security Municipal Debt Non US Sovereign Debt Other Types Registered Fund Preferred Equity Cash Loan Collateralized Obligation Other Asset-Backed Security Repurchase Agreement Total Oct 2022 1,814 281 326 445 95 73 55 600 274 53 215 24 41 41 113 2,850 Nov 2022 1,838 292 323 417 98 72 57 575 277 49 201 25 40 42 *** 2,879 Dec 2022 1,851 295 326 447 98 72 56 566 276 52 208 25 39 44 *** 2,901 Jan 2023 1,857 302 333 424 101 71 58 585 283 53 204 24 37 45 110 2,921 Feb 2023 1,871 300 329 435 102 72 59 593 280 54 191 24 37 45 112 2,928 15 Mar 2023 1,868 296 322 462 101 74 58 586 281 53 203 24 39 45 *** 2,952 Apr 2023 1,872 305 322 435 103 74 58 581 276 52 185 24 40 46 102 2,954 May 2023 1,873 312 325 444 105 76 57 586 274 52 200 24 42 46 *** 2,970 Jun 2023 1,886 317 330 437 105 75 56 580 273 56 194 24 41 44 *** 2,986 Jul 2023 1,887 332 332 415 109 79 60 611 272 54 185 23 48 48 *** 3,005 Aug 2023 1,899 338 335 404 113 78 57 607 273 55 179 22 51 53 *** 3,033 Sep 2023 1,918 360 342 444 115 80 54 619 280 51 201 22 53 55 *** 3,088 April 18, 2024 4.4 Analytics Ofce Closed-End Funds4 Table 4.7: Aggregate Gross Value of Closed-End Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity Municipal Debt Other Types Corporate Debt Loan Mortgage-Backed Security Repurchase Agreement STIV Preferred Equity Collateralized Obligation Registered Fund US Treasury Debt Cash Non US Sovereign Debt Other Asset-Backed Security Total Oct 2022 126 84 62 59 46 18 16 10 11 8 8 6 5 4 3 466 Nov 2022 133 88 62 60 44 18 16 9 11 8 9 6 5 4 3 475 Dec 2022 124 87 63 59 42 18 16 9 10 8 8 6 5 4 3 461 Jan 2023 133 90 64 61 42 19 15 9 11 8 9 5 4 4 2 477 Feb 2023 128 87 64 60 43 19 14 9 11 8 8 5 4 4 3 466 Mar 2023 129 87 65 58 43 20 15 9 10 8 8 5 4 4 3 467 Apr 2023 129 87 64 58 45 20 14 9 11 8 8 5 4 4 3 469 May 2023 126 86 65 58 43 19 14 9 10 8 8 5 4 4 3 463 Jun 2023 131 87 66 58 45 19 14 10 10 9 8 5 4 4 3 473 Jul 2023 135 86 66 59 46 19 14 10 10 9 8 5 4 4 3 480 Aug 2023 131 85 67 58 46 20 15 10 10 9 9 5 4 4 3 476 Sep 2023 125 81 68 58 48 20 16 10 10 9 8 5 4 4 3 469 Table 4.8: Number of Closed-End Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Closed-End Funds, and not the sum of the preceding rows. Investment Type Common Equity Municipal Debt Other Types Corporate Debt Loan Mortgage-Backed Security Repurchase Agreement STIV Preferred Equity Collateralized Obligation Registered Fund US Treasury Debt Cash Non US Sovereign Debt Other Asset-Backed Security Total Oct 2022 237 126 168 228 122 74 63 123 77 66 48 49 67 39 33 649 Nov 2022 238 127 162 225 119 76 64 125 67 69 49 51 61 36 32 651 Dec 2022 236 128 165 224 121 73 67 116 71 69 47 52 54 36 *** 650 Jan 2023 236 128 162 224 123 75 62 111 69 71 48 52 62 35 31 652 Feb 2023 233 127 161 223 123 72 62 131 69 72 45 51 60 35 33 652 Mar 2023 227 126 166 219 124 73 55 127 67 72 48 50 54 34 34 652 Apr 2023 224 124 166 218 125 72 55 123 67 71 46 45 51 34 35 647 May 2023 227 124 165 221 125 73 52 124 69 71 47 48 57 35 36 649 Jun 2023 225 123 167 224 128 72 59 125 64 72 44 42 44 36 35 654 Jul 2023 228 123 164 221 130 73 56 128 63 71 47 38 66 36 36 648 Aug 2023 233 123 165 219 130 73 56 107 66 73 45 43 54 34 35 645 Sep 2023 235 123 172 218 131 74 55 128 60 74 *** 47 53 34 34 651 4 “Closed-End Funds” include interval funds and non-traded funds registered on Form N-2. Please see Appendix 13.5 for defnitions of other capitalized terms used in this report. 16 April 18, 2024 4.5 Analytics Ofce Non-Index Funds Table 4.9: Aggregate Gross Value of Non-Index Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security Municipal Debt US Treasury Debt STIV Other Types Loan Collateralized Obligation Other Asset-Backed Security Non US Sovereign Debt Repurchase Agreement Cash Preferred Equity Total Oct 2022 8,841 2,120 1,534 965 862 752 669 365 209 157 151 146 105 78 71 17,026 Nov 2022 9,423 2,248 1,578 1,003 888 765 658 341 203 158 152 158 101 71 71 17,818 Dec 2022 8,916 2,157 1,542 990 873 758 588 330 194 157 149 155 108 68 67 17,052 Jan 2023 9,517 2,289 1,603 992 901 786 604 326 194 155 151 162 97 77 71 17,923 Feb 2023 9,223 2,217 1,567 951 881 785 609 323 190 155 152 158 112 75 69 17,466 Mar 2023 9,374 2,264 1,570 1,036 890 801 599 327 182 154 153 160 115 67 66 17,758 Apr 2023 9,436 2,292 1,575 1,015 891 789 629 327 183 153 154 161 109 68 64 17,845 May 2023 9,314 2,259 1,565 1,048 883 763 602 333 176 154 155 155 97 68 63 17,633 Jun 2023 9,831 2,338 1,570 1,044 889 762 589 328 178 157 156 159 108 67 63 18,240 Jul 2023 10,135 2,385 1,576 1,048 893 770 591 340 181 158 157 161 102 65 63 18,625 Aug 2023 9,839 2,336 1,567 1,057 880 771 579 323 181 159 161 158 94 62 61 18,227 Sep 2023 9,359 2,244 1,536 1,049 849 752 587 336 185 163 163 152 94 68 58 17,594 Table 4.10: Number of Non-Index Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. The “Total” row below indicates the number of Non-Index Funds, and not the sum of the preceding rows. Investment Type Common Equity Registered Fund Corporate Debt Mortgage-Backed Security Municipal Debt US Treasury Debt STIV Other Types Loan Collateralized Obligation Other Asset-Backed Security Non US Sovereign Debt Repurchase Agreement Cash Preferred Equity Total Oct 2022 5,266 2,197 2,027 1,122 781 1,460 1,967 1,164 379 481 487 425 327 636 222 10,015 Nov 2022 5,264 2,194 2,026 1,144 785 1,461 1,846 1,098 367 481 476 429 302 603 207 10,041 Dec 2022 5,270 2,158 2,029 1,133 783 1,512 1,797 1,106 371 486 475 426 315 587 206 10,058 Jan 2023 5,280 2,175 2,037 1,132 771 1,536 1,754 1,080 368 474 470 420 290 590 205 10,062 Feb 2023 5,270 2,150 2,032 1,132 771 1,533 1,831 1,080 371 478 476 427 316 549 205 10,061 17 Mar 2023 5,272 2,176 2,020 1,140 770 1,548 1,793 1,091 369 473 479 426 301 515 194 10,070 Apr 2023 5,252 2,177 2,011 1,129 763 1,550 1,770 1,129 370 467 484 413 291 505 193 10,061 May 2023 5,254 2,151 2,021 1,146 763 1,540 1,710 1,092 370 477 486 410 275 532 192 10,088 Jun 2023 5,259 2,138 2,023 1,144 757 1,536 1,672 1,061 375 478 484 409 277 471 184 10,069 Jul 2023 5,262 2,138 2,018 1,149 758 1,549 1,633 1,118 373 484 494 412 258 478 179 10,075 Aug 2023 5,266 2,124 2,019 1,155 755 1,568 1,573 1,072 379 493 496 407 261 446 192 10,068 Sep 2023 5,274 2,148 2,014 1,156 753 1,592 1,693 1,125 377 504 510 400 272 479 177 10,107 April 18, 2024 4.6 Analytics Ofce Index Funds Table 4.11: Aggregate Gross Value of Index Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security Non US Sovereign Debt STIV Municipal Debt Registered Fund Other Types Preferred Equity Cash Repurchase Agreement Loan Collateralized Obligation Other Asset-Backed Security Total Oct 2022 8,695 905 567 226 188 187 90 90 66 39 17 12 *** *** 1 11,090 Nov 2022 9,305 926 603 237 199 180 98 97 66 40 17 13 *** *** 2 11,788 Dec 2022 8,820 927 597 240 191 184 101 92 58 38 21 8 *** *** 1 11,282 Jan 2023 9,464 955 627 252 200 202 104 97 58 42 12 12 *** *** 2 12,033 Feb 2023 9,185 954 602 247 191 194 101 94 56 40 13 11 *** *** 2 11,695 Mar 2023 9,375 1,005 612 257 202 200 103 96 55 38 20 10 *** *** 2 11,981 Apr 2023 9,475 1,009 623 257 206 203 104 97 52 39 20 13 *** *** 2 12,106 May 2023 9,415 1,007 617 255 202 195 103 96 54 38 20 12 3 2 2 12,023 Jun 2023 10,030 1,015 625 257 209 186 105 102 58 40 18 11 *** *** 2 12,664 Jul 2023 10,431 1,018 633 262 212 195 106 105 58 41 14 12 *** *** 2 13,096 Aug 2023 10,163 1,021 626 260 208 191 105 103 56 39 12 12 *** *** 2 12,803 Sep 2023 9,703 1,013 605 253 201 190 103 97 53 38 18 9 *** *** 2 12,292 Table 4.12: Number of Index Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Index fund indication drawn from Form N-CEN, Item C.3. The “Total” row below indicates the number of Index Funds, and not the sum of the preceding rows. Investment Type Common Equity US Treasury Debt Corporate Debt Mortgage-Backed Security Non US Sovereign Debt STIV Municipal Debt Registered Fund Other Types Preferred Equity Cash Repurchase Agreement Loan Collateralized Obligation Other Asset-Backed Security Total Oct 2022 1,829 237 234 64 47 371 *** 184 413 42 122 229 *** 0 *** 2,533 Nov 2022 1,847 228 227 64 48 337 41 185 407 37 119 217 *** 0 *** 2,538 Dec 2022 1,845 230 226 64 47 372 *** 186 379 39 115 *** *** 0 *** 2,535 Jan 2023 1,850 231 226 64 47 374 *** 183 375 39 119 218 *** 0 *** 2,545 Feb 2023 1,855 229 225 65 47 355 41 178 373 40 116 216 *** 0 *** 2,540 18 Mar 2023 1,847 228 221 65 46 368 43 178 392 40 130 *** *** 0 *** 2,544 Apr 2023 1,844 230 221 65 46 356 43 176 361 38 112 217 *** 0 *** 2,527 May 2023 1,840 222 222 65 45 350 44 177 351 38 112 215 *** 0 *** 2,526 Jun 2023 1,841 225 223 65 43 348 44 176 356 41 120 *** *** 0 *** 2,526 Jul 2023 1,840 226 223 65 45 312 43 174 375 40 111 204 *** 0 *** 2,524 Aug 2023 1,841 233 223 65 45 318 44 170 355 40 111 212 *** 0 *** 2,527 Sep 2023 1,845 247 222 65 41 343 44 169 368 36 117 *** *** 0 *** 2,540 April 18, 2024 4.7 Analytics Ofce US Equity Funds Table 4.13: Aggregate Gross Value of US Equity Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity STIV Other Types Preferred Equity Cash Registered Fund Repurchase Agreement Corporate Debt US Treasury Debt Loan Total Oct 2022 13,144 272 66 48 23 31 *** 6 7 *** 13,615 Nov 2022 13,847 268 64 49 21 29 16 6 7 0 14,308 Dec 2022 13,039 257 61 46 21 23 14 *** 8 *** 13,477 Jan 2023 13,912 262 65 50 18 27 *** 6 8 *** 14,366 Feb 2023 13,528 252 62 49 20 23 17 6 7 0 13,965 Mar 2023 13,770 251 66 48 21 24 16 *** 7 *** 14,208 Apr 2023 13,874 255 68 47 21 25 *** 6 6 *** 14,318 May 2023 13,831 241 71 46 20 24 *** 6 6 *** 14,260 Jun 2023 14,730 246 72 46 24 24 17 *** 5 *** 15,171 Jul 2023 15,258 245 79 46 19 23 *** 6 5 *** 15,698 Aug 2023 14,899 232 74 45 19 27 *** 6 5 *** 15,323 Sep 2023 14,179 239 72 43 23 23 14 *** 6 *** 14,606 Table 4.14: Number of US Equity Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of US Equity Funds, and not the sum of the preceding rows. Investment Type Common Equity STIV Other Types Preferred Equity Cash Registered Fund Repurchase Agreement Corporate Debt US Treasury Debt Loan Total Oct 2022 4,113 556 440 63 158 106 102 36 50 1 4,314 Nov 2022 4,118 493 419 60 158 104 92 34 61 *** 4,324 Dec 2022 4,120 484 439 58 143 98 *** 37 69 2 4,335 Jan 2023 4,131 480 434 58 147 96 87 31 71 *** 4,348 Feb 2023 4,133 496 424 58 143 96 90 36 72 *** 4,355 19 Mar 2023 4,135 478 455 59 141 109 95 35 78 3 4,367 Apr 2023 4,122 476 458 55 150 113 77 36 73 *** 4,358 May 2023 4,124 488 436 56 140 98 85 41 72 *** 4,351 Jun 2023 4,132 468 426 51 122 98 85 39 74 3 4,360 Jul 2023 4,132 406 449 47 121 96 68 38 71 *** 4,363 Aug 2023 4,142 406 438 54 124 97 78 34 72 *** 4,380 Sep 2023 4,158 442 462 50 136 118 77 34 78 3 4,406 April 18, 2024 4.8 Analytics Ofce Taxable Bond Funds Table 4.15: Aggregate Gross Value of Taxable Bond Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Corporate Debt US Treasury Debt Mortgage-Backed Security Non US Sovereign Debt STIV Other Types Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Total Oct 2022 1,851 1,484 1,085 316 296 315 195 138 144 80 5,906 Nov 2022 1,920 1,516 1,128 338 288 298 191 138 145 79 6,041 Dec 2022 1,881 1,509 1,118 327 271 293 182 136 144 88 5,948 Jan 2023 1,960 1,564 1,133 341 289 287 182 138 143 78 6,114 Feb 2023 1,904 1,572 1,096 328 294 285 179 139 143 90 6,030 Mar 2023 1,917 1,635 1,181 342 274 277 170 140 142 94 6,172 Apr 2023 1,932 1,632 1,161 347 301 276 171 141 141 88 6,190 May 2023 1,918 1,612 1,192 338 295 280 163 142 142 79 6,161 Jun 2023 1,928 1,620 1,194 348 268 278 166 143 144 86 6,174 Jul 2023 1,940 1,629 1,201 352 279 278 169 144 145 84 6,220 Aug 2023 1,923 1,624 1,208 346 285 262 169 147 146 76 6,185 Sep 2023 1,881 1,597 1,192 335 281 280 173 149 149 76 6,113 Table 4.16: Number of Taxable Bond Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Taxable Bond Funds, and not the sum of the preceding rows. Investment Type Corporate Debt US Treasury Debt Mortgage-Backed Security Non US Sovereign Debt STIV Other Types Loan Other Asset-Backed Security Collateralized Obligation Repurchase Agreement Total Oct 2022 1,804 1,247 1,001 412 731 847 338 468 455 305 2,567 Nov 2022 1,805 1,225 1,015 421 735 829 333 458 453 289 2,581 Dec 2022 1,806 1,259 1,010 414 763 825 332 458 459 294 2,597 Jan 2023 1,826 1,282 1,016 411 761 818 328 455 449 296 2,615 Feb 2023 1,816 1,273 1,018 416 758 792 329 460 452 307 2,607 20 Mar 2023 1,806 1,270 1,021 410 725 806 331 463 447 302 2,611 Apr 2023 1,801 1,268 1,014 398 730 803 331 468 442 298 2,611 May 2023 1,813 1,263 1,028 395 695 806 332 471 451 277 2,626 Jun 2023 1,813 1,273 1,031 393 692 794 339 470 452 297 2,638 Jul 2023 1,811 1,281 1,034 396 714 807 332 481 457 292 2,629 Aug 2023 1,808 1,304 1,035 395 670 760 335 485 463 287 2,627 Sep 2023 1,805 1,332 1,039 385 702 806 333 495 471 296 2,645 April 18, 2024 4.9 Analytics Ofce Multi-Asset Funds Table 4.17: Aggregate Gross Value of Multi-Asset Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Registered Fund Common Equity Corporate Debt Other Types US Treasury Debt STIV Mortgage-Backed Security Loan Non US Sovereign Debt Preferred Equity Total Oct 2022 2,147 916 239 223 163 159 106 17 15 17 4,000 Nov 2022 2,283 976 250 219 166 155 111 16 15 17 4,209 Dec 2022 2,196 932 246 208 165 134 111 16 16 16 4,039 Jan 2023 2,326 988 258 207 165 143 110 16 17 17 4,247 Feb 2023 2,258 957 253 201 158 136 102 15 17 16 4,114 Mar 2023 2,304 965 255 206 161 141 111 15 17 15 4,189 Apr 2023 2,330 973 255 198 156 145 111 15 16 14 4,214 May 2023 2,298 952 253 198 150 141 111 15 16 14 4,147 Jun 2023 2,384 996 257 203 149 139 106 15 16 13 4,277 Jul 2023 2,437 1,015 258 205 151 142 107 15 16 13 4,360 Aug 2023 2,382 983 256 201 158 134 108 15 16 13 4,266 Sep 2023 2,287 934 249 198 158 129 110 16 15 12 4,107 Table 4.18: Number of Multi-Asset Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Multi-Asset Funds, and not the sum of the preceding rows. Investment Type Registered Fund Common Equity Corporate Debt Other Types US Treasury Debt STIV Mortgage-Backed Security Loan Non US Sovereign Debt Preferred Equity Total Oct 2022 2,128 767 398 739 380 691 179 42 51 58 2,786 Nov 2022 2,129 769 394 708 386 658 187 35 48 59 2,790 Dec 2022 2,111 770 391 703 397 656 181 40 50 59 2,772 Jan 2023 2,104 782 386 686 386 622 176 40 49 57 2,764 Feb 2023 2,091 780 385 695 389 636 175 42 50 55 2,756 21 Mar 2023 2,087 777 382 687 409 637 178 38 54 50 2,754 Apr 2023 2,089 763 379 659 416 593 175 39 51 50 2,738 May 2023 2,084 750 371 676 404 593 178 38 50 49 2,753 Jun 2023 2,077 746 376 636 394 555 173 36 52 48 2,710 Jul 2023 2,085 748 376 635 394 544 176 41 54 48 2,721 Aug 2023 2,067 741 381 629 399 535 183 43 51 48 2,699 Sep 2023 2,060 725 380 626 403 593 180 43 52 47 2,702 April 18, 2024 4.10 Analytics Ofce Global Equity Funds Table 4.19: Aggregate Gross Value of Global Equity Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Common Equity STIV Other Types Preferred Equity Cash Total Oct 2022 3,453 119 45 30 13 3,659 Nov 2022 3,881 116 42 30 13 4,082 Dec 2022 3,743 101 37 28 12 3,920 Jan 2023 4,058 101 41 30 13 4,243 Feb 2023 3,900 110 41 28 12 4,091 Mar 2023 3,992 123 43 28 13 4,199 Apr 2023 4,042 120 44 28 20 4,254 May 2023 3,925 110 42 28 20 4,126 Jun 2023 4,113 112 42 31 14 4,312 Jul 2023 4,270 109 40 32 14 4,466 Aug 2023 4,096 110 44 30 14 4,294 Sep 2023 3,925 120 41 29 15 4,130 Table 4.20: Number of Global Equity Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Global Equity Funds, and not the sum of the preceding rows. Investment Type Common Equity STIV Other Types Preferred Equity Cash Total Oct 2022 2,126 302 191 70 67 2,136 Nov 2022 2,133 245 172 60 70 2,143 Dec 2022 2,137 224 154 61 64 2,148 Jan 2023 2,133 215 162 62 78 2,144 Feb 2023 2,132 239 170 64 52 2,141 22 Mar 2023 2,128 265 176 59 62 2,139 Apr 2023 2,128 269 177 59 62 2,137 May 2023 2,132 235 161 59 62 2,140 Jun 2023 2,136 248 145 64 56 2,144 Jul 2023 2,132 208 142 62 57 2,142 Aug 2023 2,134 218 149 66 47 2,145 Sep 2023 2,142 253 153 58 54 2,152 April 18, 2024 4.11 Analytics Ofce Municipal Bond Funds Table 4.21: Aggregate Gross Value of Municipal Bond Fund Investments by Investment Category ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). Investment Type Municipal Debt Other Types STIV Corporate Debt Cash Total Oct 2022 903 15 10 2 5 935 Nov 2022 936 14 10 3 4 966 Dec 2022 924 12 9 2 3 950 Jan 2023 954 14 11 2 5 987 Feb 2023 933 13 10 2 3 962 Mar 2023 943 13 10 2 2 971 Apr 2023 945 13 10 2 2 974 May 2023 936 11 9 2 2 962 Jun 2023 944 11 10 2 3 970 Jul 2023 950 11 11 2 2 977 Aug 2023 939 11 10 2 2 963 Sep 2023 907 11 8 2 2 930 Table 4.22: Number of Municipal Bond Funds Reporting Gross Value of Each Investment Category, With an Aggregate Gross Value Exceeding Five Percent of Net Assets This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Includes cash and cash equivalents (Form N-PORT, Item B.2.f). The “Total” row below indicates the number of Municipal Bond Funds, and not the sum of the preceding rows. Investment Type Municipal Debt Other Types STIV Corporate Debt Cash Total Oct 2022 744 54 58 12 30 nan Nov 2022 741 45 52 *** 29 741 Dec 2022 741 44 42 *** 19 nan Jan 2023 736 43 50 11 20 nan Feb 2023 742 44 57 12 17 742 23 Mar 2023 743 34 56 *** *** 743 Apr 2023 741 41 58 *** 7 744 May 2023 744 38 49 *** 12 744 Jun 2023 741 38 57 *** 15 743 Jul 2023 743 42 73 *** 11 744 Aug 2023 744 43 62 *** 9 744 Sep 2023 742 41 46 *** *** 742 April 18, 2024 5 Analytics Ofce Fund Portfolio Investments by Currency5 Table 5.1: Aggregate Gross Value of Fund Investments, by Fund Type and Currency ($Billions) This table includes holdings reported by fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) by currency code (Form N-PORT, Item C.2.b). This table does not refect the notional value of derivatives but uses the value reported in Item C.2.c. Reported currency codes with a value of “N/A” are aggregated with the “Other” category. Currency codes are reported pursuant to the International Organization for Standardization (ISO) 4217 standard. Currency code mappings presented below are derived from ISO 4217 mappings as of January 1, 2024. Fund Type Mutual Fund ETF Closed-End Fund Total Currency USD - US Dollar EUR - Euro JPY - Yen GBP - Pound Sterling CAD - Canadian Dollar HKD - Hong Kong Dollar CHF - Swiss Franc INR - Indian Rupee TWD - New Taiwan Dollar KRW - Won Other Subtotal USD - US Dollar EUR - Euro JPY - Yen GBP - Pound Sterling HKD - Hong Kong Dollar INR - Indian Rupee CHF - Swiss Franc CAD - Canadian Dollar TWD - New Taiwan Dollar KRW - Won Other Subtotal USD - US Dollar EUR - Euro GBP - Pound Sterling CAD - Canadian Dollar JPY - Yen INR - Indian Rupee CHF - Swiss Franc HKD - Hong Kong Dollar TWD - New Taiwan Dollar KRW - Won Other Subtotal Total Oct 2022 18,665 715 320 307 174 135 156 125 72 74 470 21,212 5,429 187 139 86 70 46 49 52 37 30 223 6,349 427 15 5 2 2 1 1 1 0 1 6 461 28,021 Nov 2022 19,413 812 360 344 185 179 169 132 90 86 509 22,278 5,718 215 156 97 94 50 54 57 47 36 246 6,770 433 16 5 2 2 1 1 1 0 1 6 470 29,518 Dec 2022 18,511 788 351 333 173 188 162 123 82 80 494 21,283 5,475 210 155 94 99 47 53 54 44 34 241 6,506 420 17 5 2 2 1 1 1 0 1 6 456 28,246 Jan 2023 19,475 861 367 349 186 209 170 119 95 89 522 22,441 5,820 236 164 103 113 48 57 59 51 40 262 6,953 435 18 5 3 2 1 1 1 0 1 6 473 29,867 Feb 2023 18,999 850 352 341 176 186 160 114 93 83 504 21,858 5,660 236 159 103 101 45 56 56 50 38 250 6,753 424 17 5 2 2 1 1 1 0 0 6 462 29,073 Mar 2023 19,367 875 364 344 175 192 164 117 98 86 507 22,289 5,781 244 164 102 106 46 58 57 52 39 252 6,900 424 18 5 2 2 1 1 1 1 0 6 463 29,652 Apr 2023 19,457 893 359 360 180 187 172 123 92 84 515 22,420 5,838 252 166 107 103 48 61 59 50 38 256 6,979 425 19 6 2 2 1 1 1 0 0 6 464 29,863 May 2023 19,313 845 361 340 170 167 164 125 100 90 500 22,174 5,828 240 170 101 93 50 59 56 54 40 245 6,936 420 18 6 2 2 1 1 1 1 0 6 459 29,569 Jun 2023 20,064 886 374 353 177 175 168 132 102 92 510 23,033 6,163 252 180 103 98 53 60 58 54 41 255 7,317 429 18 6 2 2 1 1 1 1 0 6 469 30,819 Jul 2023 20,511 906 381 366 183 187 171 137 100 96 525 23,564 6,396 259 187 108 107 56 63 60 55 44 268 7,602 435 19 6 2 2 1 1 1 1 0 6 476 31,642 Aug 2023 20,122 867 373 352 179 167 165 134 96 90 505 23,050 6,280 249 184 103 96 56 61 59 52 41 254 7,435 433 18 6 2 2 1 1 1 1 0 6 472 30,957 Sep 2023 19,364 813 357 345 175 157 154 135 93 87 490 22,170 6,050 235 179 102 92 58 57 57 51 39 247 7,167 427 18 6 2 2 1 1 1 1 0 6 464 29,801 5 Per N-PORT General Instruction G, N-PORT flers must report applicable three-letter alphabetic currency codes pursuant to the International Organization for Standardization (ISO) 4217 standard. Please refer to the ISO for additional information on currency code defnitions and mappings. 24 April 18, 2024 6 Analytics Ofce Fund Portfolio Investments by Country6 Table 6.1: Aggregate Gross Value of Fund Investments, by Fund Type and Country of Investment ($Billions) This table includes holdings reported by fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by country of investment (Form N-PORT, Item C.5.a), adjusted for consensus — see the appendix for more details. Reported country codes with a value of “N/A” are aggregated with the “Other” category. Fund Type Mutual Fund ETF Closed-End Fund Total Country United States of America United Kingdom Japan Canada France Switzerland Netherlands Ireland Germany Cayman Islands Other Subtotal United States of America Japan United Kingdom Canada France Switzerland Ireland Germany Netherlands Cayman Islands Other Subtotal United States of America Cayman Islands United Kingdom Canada France Netherlands Germany Switzerland Japan Ireland Other Subtotal Total Oct 2022 17,490 432 348 322 257 235 194 186 163 172 1,413 21,212 5,165 149 104 89 62 64 55 48 41 38 534 6,349 379 17 8 7 5 3 2 2 2 2 32 461 28,021 Nov 2022 18,173 475 389 340 290 251 223 198 183 193 1,564 22,278 5,433 167 116 96 71 70 59 55 48 50 606 6,770 384 18 9 8 6 3 2 2 2 2 34 470 29,518 Dec 2022 17,317 462 379 320 281 240 209 189 177 193 1,517 21,283 5,198 165 114 93 70 68 56 53 45 51 593 6,506 372 18 9 8 6 3 2 2 2 2 33 456 28,246 Jan 2023 18,204 480 399 343 308 255 234 202 194 205 1,617 22,441 5,519 176 124 102 79 74 60 61 52 59 649 6,953 384 18 9 8 6 3 2 3 2 2 36 473 29,867 Feb 2023 17,762 473 383 327 306 241 228 199 189 191 1,559 21,858 5,372 170 122 96 79 72 58 60 51 53 620 6,753 376 17 9 8 6 3 2 3 2 2 34 462 29,073 Mar 2023 18,126 471 395 329 316 242 237 203 198 195 1,577 22,289 5,496 176 121 98 81 73 59 63 53 56 627 6,900 376 17 9 8 6 3 2 2 2 2 35 463 29,652 Apr 2023 18,219 488 390 340 329 254 227 206 202 185 1,580 22,420 5,550 178 126 99 85 77 60 65 52 52 635 6,979 376 17 10 8 6 3 3 2 2 2 35 464 29,863 May 2023 18,100 463 391 325 306 243 230 204 188 178 1,548 22,174 5,545 181 119 95 80 75 60 61 52 48 619 6,936 372 17 10 7 6 3 3 2 2 2 34 459 29,569 Jun 2023 18,805 476 405 339 323 249 242 217 196 182 1,600 23,033 5,865 192 122 100 84 76 65 64 56 51 644 7,317 380 17 10 8 6 3 3 2 2 2 35 469 30,819 Jul 2023 19,223 491 412 350 329 256 249 219 201 190 1,644 23,564 6,085 198 127 102 86 79 67 66 59 58 676 7,602 386 18 10 7 6 3 3 2 2 2 36 476 31,642 Aug 2023 18,864 475 403 342 320 246 230 218 194 181 1,576 23,050 5,976 196 123 99 84 76 67 63 55 53 644 7,435 384 18 10 7 6 3 3 2 2 2 35 472 30,957 Sep 2023 18,127 468 386 332 302 236 215 209 182 181 1,532 22,170 5,752 190 122 95 79 73 63 59 52 50 631 7,167 377 18 10 7 6 3 2 2 2 2 34 464 29,801 6 Per the N-PORT instructions to Item C.5.a. and C.5.b., flers must report country codes pursuant to the International Organization for Standardization (ISO) standard. Please refer to the ISO for additional information on country code defnitions and mappings. 25 April 18, 2024 Analytics Ofce Table 6.2: Aggregate Gross Value of Fund Investments, by Fund Type and Country of Risk ($Billions) This table includes holdings reported by fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by country of risk (Form N-PORT, Item C.5.b), adjusted for consensus — see the appendix for more details. Reported country codes with a value of “N/A” are aggregated with the “Other” category. Fund Type Mutual Fund ETF Closed-End Fund Total Country United States of America United Kingdom Japan Canada France Germany Switzerland Netherlands Cayman Islands Ireland Other Subtotal United States of America Japan United Kingdom Canada France Germany Switzerland Netherlands Ireland Cayman Islands Other Subtotal United States of America Cayman Islands United Kingdom Canada France Netherlands Germany Japan Switzerland Ireland Other Subtotal Total Oct 2022 17,732 431 353 302 270 180 158 149 72 62 1,502 21,212 5,241 150 102 85 61 51 41 34 18 4 562 6,349 384 12 8 7 5 2 2 2 2 1 34 461 28,021 Nov 2022 18,424 471 395 318 302 200 171 169 72 65 1,691 22,278 5,514 168 113 92 69 58 45 39 19 4 648 6,770 389 12 9 7 6 3 2 2 2 1 36 470 29,518 Dec 2022 17,558 457 385 300 294 194 163 156 72 64 1,643 21,283 5,276 166 110 89 69 57 44 36 18 5 636 6,506 377 12 8 7 6 3 2 2 2 1 36 456 28,246 Jan 2023 18,459 474 403 321 322 212 172 174 71 69 1,763 22,441 5,604 177 119 97 78 65 47 41 19 5 703 6,953 389 13 9 8 6 3 3 2 2 1 38 473 29,867 26 Feb 2023 18,014 470 388 305 316 206 164 169 70 68 1,687 21,858 5,458 171 119 92 75 64 46 41 18 5 666 6,753 381 12 9 7 6 3 3 2 2 1 37 462 29,073 Mar 2023 18,424 426 401 306 321 216 165 175 70 70 1,715 22,289 5,594 177 105 92 76 66 46 42 18 5 678 6,900 381 12 9 7 6 3 3 2 2 1 37 463 29,652 Apr 2023 18,524 441 395 315 334 220 173 170 70 69 1,709 22,420 5,653 179 110 94 80 69 49 41 19 5 680 6,979 381 12 9 7 6 3 3 2 2 1 37 464 29,863 May 2023 18,403 420 396 302 309 205 166 173 69 70 1,661 22,174 5,645 182 104 91 75 65 47 42 19 5 660 6,936 377 12 9 7 6 3 3 2 2 1 36 459 29,569 Jun 2023 19,133 430 410 315 326 212 170 181 68 72 1,716 23,033 5,975 193 106 95 79 67 48 44 20 5 686 7,317 385 13 9 7 6 3 3 2 2 1 37 469 30,819 Jul 2023 19,556 443 417 324 331 217 175 187 67 73 1,774 23,564 6,198 199 111 97 81 70 50 45 20 6 725 7,602 392 13 10 7 6 3 3 2 2 1 37 476 31,642 Aug 2023 19,191 428 408 318 322 212 170 171 67 73 1,688 23,050 6,087 197 106 94 79 67 48 42 21 6 687 7,435 390 13 9 7 6 3 3 2 2 1 36 472 30,957 Sep 2023 18,449 419 391 309 304 199 162 161 68 66 1,640 22,170 5,859 191 105 91 74 64 47 40 18 6 671 7,167 384 13 9 7 6 3 3 2 2 1 35 464 29,801 April 18, 2024 Analytics Ofce Fund Derivative Investments7 7 Table 7.1: Aggregate Notional of Fund Investments in Derivatives, by Fund Type and Derivative Type ($Billions) Relies on Form N-PORT, Item C.4 and Item C.11. Fund Type Mutual Fund ETF Closed-End Fund Total Derivative Type Interest Rate Future Interest Rate Swap Foreign Exchange Forward Equity Option Credit Swap Interest Rate Swaption Equity Future Other Equity Swap Foreign Exchange Option Commodity Future Subtotal Equity Swap Foreign Exchange Forward Equity Option Interest Rate Future Equity Future Commodity Future Other Interest Rate Swap Interest Rate Swaption Credit Swap Foreign Exchange Option Subtotal Equity Option Interest Rate Swap Foreign Exchange Forward Interest Rate Future Foreign Exchange Option Interest Rate Swaption Credit Swap Equity Swap Other Equity Future Commodity Future Subtotal Total Oct 2022 997.2 653.3 750.7 178.7 188.8 168.1 161.7 137.4 68.2 43.4 36.1 3,383.5 127.0 106.8 68.1 13.3 16.9 13.9 7.8 5.2 *** 1.2 *** 363.1 26.4 27.3 17.0 10.5 6.5 *** 2.6 2.3 0.7 *** *** 97.4 3,844.0 Nov 2022 973.0 664.6 808.1 168.4 184.4 156.8 155.2 235.3 67.7 31.7 37.3 3,482.5 135.4 113.2 73.7 13.9 18.8 13.6 7.8 *** *** 1.1 *** 385.1 27.0 27.7 18.7 10.6 6.9 *** 2.5 2.2 0.8 *** *** 100.5 3,968.1 Dec 2022 911.2 664.5 698.1 166.9 180.7 184.5 150.8 222.0 65.2 44.0 33.9 3,321.8 126.0 120.1 73.3 13.7 16.5 11.2 6.3 *** 2.7 1.1 *** 376.1 25.4 28.0 14.5 10.3 6.9 4.0 2.4 *** 1.0 *** *** 95.1 3,793.0 Jan 2023 943.7 645.4 731.1 190.2 180.1 186.7 143.1 231.6 66.3 50.8 35.4 3,404.3 140.6 104.2 77.5 13.5 17.0 11.3 6.6 4.5 *** 1.1 *** 378.7 28.3 29.1 18.3 10.2 *** *** 2.5 2.2 1.2 *** *** 102.3 3,885.4 Feb 2023 1,033.1 712.9 755.6 184.9 175.9 159.9 145.1 341.3 65.1 52.7 35.0 3,661.5 138.6 103.9 78.7 13.2 18.4 11.0 6.7 4.0 *** 1.2 *** 378.8 30.2 29.6 20.4 9.7 *** *** 2.4 2.3 1.1 *** *** 106.6 4,146.9 Mar 2023 1,003.3 779.3 767.2 181.1 183.5 118.4 137.5 308.2 65.8 42.3 33.5 3,620.0 146.4 99.7 87.7 17.8 19.5 10.4 6.6 3.3 *** 1.0 *** 394.4 31.7 29.0 19.8 9.0 *** 3.5 2.3 *** 1.1 *** *** 106.6 4,121.0 Apr 2023 1,085.4 847.9 753.2 182.0 190.5 103.2 142.8 278.4 64.6 40.5 34.3 3,722.8 146.6 105.6 93.1 17.4 19.9 10.7 6.4 3.4 *** 1.0 *** 406.3 32.3 39.4 18.8 8.5 *** *** 2.4 2.1 1.1 *** *** 116.3 4,245.3 May 2023 1,128.9 975.4 799.3 186.3 195.2 94.7 143.0 168.9 64.5 44.5 35.7 3,836.5 154.9 109.7 100.7 16.5 19.2 10.0 5.6 3.3 *** 0.9 *** 423.2 38.7 42.1 21.2 8.1 *** *** 2.4 2.3 1.5 *** *** 131.8 4,391.4 Jun 2023 1,120.4 983.6 747.3 192.1 185.1 88.4 152.3 107.1 65.2 32.7 31.5 3,705.5 169.7 108.2 109.2 17.5 18.4 9.8 5.6 3.1 *** 0.8 *** 444.5 39.2 41.3 19.8 7.8 *** 4.4 2.5 *** 1.6 *** *** 126.8 4,276.8 Jul 2023 1,095.2 995.4 786.1 197.3 177.4 125.1 153.7 110.6 66.8 35.3 35.1 3,777.8 178.1 112.4 111.1 19.5 18.2 9.9 6.0 3.2 *** 1.4 *** 462.2 42.6 39.2 19.9 8.0 *** *** 2.6 2.4 1.5 *** *** 128.4 4,368.4 Aug 2023 1,099.7 961.4 797.0 202.4 168.6 133.5 145.3 109.2 64.9 49.0 38.6 3,769.5 173.3 117.6 115.6 19.5 19.2 10.5 6.1 3.4 *** 1.3 *** 468.5 42.7 37.8 21.6 7.9 7.0 *** 2.7 2.4 1.5 0.5 *** 129.1 4,367.2 Sep 2023 1,166.3 867.4 758.0 193.5 160.9 146.3 144.3 106.9 65.2 52.8 40.0 3,701.6 152.9 120.5 118.6 19.7 17.8 10.2 6.2 3.5 *** 0.9 *** 452.4 43.7 31.2 19.6 8.2 *** 5.1 3.0 *** 1.4 *** *** 121.9 4,276.0 7 Non-USD-notional values are converted to USD using foreign-exchange rates sourced from Bloomberg. Notional values are not delta or duration adjusted and include derivatives reported by fund of funds. The total notional value, as a fraction of net assets, of each fund is winsorized at the 99th percentile across funds each month. 27 April 18, 2024 Analytics Ofce Table 7.2: Number of Funds with Investments in Derivatives With a Notional Value Exceeding Five Percent of Net Assets, by Fund Type and Derivative Type Relies on Form N-PORT, Item C.4 and Item C.11. Fund Type Mutual Fund ETF Closed-End Fund Total Derivative Type Interest Rate Future Interest Rate Swap Foreign Exchange Forward Equity Option Credit Swap Interest Rate Swaption Equity Future Other Equity Swap Foreign Exchange Option Commodity Future Subtotal Equity Swap Foreign Exchange Forward Equity Option Interest Rate Future Equity Future Commodity Future Other Interest Rate Swap Interest Rate Swaption Credit Swap Foreign Exchange Option Subtotal Equity Option Interest Rate Swap Foreign Exchange Forward Interest Rate Future Foreign Exchange Option Interest Rate Swaption Credit Swap Equity Swap Other Equity Future Commodity Future Subtotal Total Oct 2022 1,102 409 707 299 332 91 523 265 280 70 103 2,218 206 50 239 74 47 35 29 15 *** 15 *** 634 60 51 75 84 2 *** 33 6 9 *** *** 217 3,068 Nov 2022 1,083 403 718 303 316 85 516 221 272 64 106 2,198 206 53 247 80 39 36 33 *** *** 13 *** 646 59 51 76 86 4 *** 29 5 8 *** *** 214 3,057 Dec 2022 1,089 408 673 303 313 96 500 232 280 61 104 2,180 208 54 246 81 37 37 28 *** 1 15 *** 652 59 52 78 83 4 6 32 *** 12 *** *** 212 3,043 Jan 2023 1,075 393 685 310 308 93 479 231 272 73 104 2,169 210 53 252 79 45 39 28 14 *** 14 *** 662 61 54 75 82 *** *** 31 6 12 *** *** 214 3,044 28 Feb 2023 1,098 398 695 310 298 88 475 248 274 74 105 2,175 203 54 246 88 41 40 30 13 *** 16 *** 657 62 54 77 81 *** *** 29 7 12 *** *** 216 3,047 Mar 2023 1,098 381 692 308 294 83 465 218 274 75 104 2,219 201 56 267 90 50 40 34 13 *** 13 *** 679 61 51 79 71 *** 6 29 *** 11 *** *** 213 3,110 Apr 2023 1,094 376 685 318 299 76 438 182 273 65 105 2,181 195 56 273 89 46 41 30 13 *** 14 *** 678 59 48 79 69 *** *** 27 7 11 *** *** 210 3,068 May 2023 1,114 384 705 293 317 87 449 184 266 76 104 2,186 188 58 270 92 34 44 32 14 *** 14 *** 681 62 53 81 61 *** *** 29 6 11 *** *** 207 3,073 Jun 2023 1,088 398 700 292 306 90 427 214 269 65 104 2,175 189 58 269 88 44 45 32 13 *** 14 *** 676 60 54 77 64 *** 7 28 *** 13 *** *** 206 3,056 Jul 2023 1,089 398 685 297 295 81 443 220 264 64 108 2,163 189 59 285 93 46 46 35 14 *** 17 *** 695 61 54 80 61 *** *** 28 6 12 *** *** 207 3,064 Aug 2023 1,097 410 697 299 304 83 429 213 266 73 112 2,190 192 60 297 97 31 47 39 18 *** 15 *** 709 57 52 80 66 7 *** 28 6 12 4 *** 205 3,103 Sep 2023 1,153 411 686 293 288 84 460 204 265 71 108 2,209 197 57 308 103 45 51 42 21 *** 18 *** 732 59 53 80 66 *** 6 27 *** 13 *** *** 207 3,147 April 18, 2024 Analytics Ofce Table 7.3: Percent of Aggregate Derivative Notional Reported, by Cumulative Percentile Relies on Form N-PORT, Item C.11. and B.1.a. This fgure excludes fund of funds and removes any observations without derivative exposure or non-positive total assets. Fund Type All Funds Mutual Fund ETF Closed-End Fund Percentile Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Top 2% Top 5% Top 10% Top 25% Oct 2022 60.31 75.68 86.31 96.24 59.58 75.23 86.42 96.33 *** 72.08 84.19 96.32 *** 57.48 70.69 88.05 Nov 2022 60.86 75.73 86.27 96.30 60.40 75.50 86.40 96.42 56.66 71.95 84.05 96.03 *** 57.47 70.62 88.47 Dec 2022 60.94 75.95 86.45 96.41 60.50 75.63 86.59 96.51 57.72 72.86 84.89 96.41 38.09 *** *** 87.38 Jan 2023 60.07 75.51 86.18 96.28 59.53 75.31 86.24 96.42 *** 72.07 83.89 96.18 *** 57.63 70.45 88.04 Feb 2023 62.73 77.04 87.01 96.48 62.66 77.19 87.27 96.68 56.36 71.04 83.46 95.85 *** 59.80 72.11 88.87 Mar 2023 62.34 76.61 86.69 96.42 62.55 76.86 87.05 96.65 56.25 71.14 83.31 95.83 42.48 61.14 *** 88.76 Apr 2023 62.57 76.59 86.62 96.46 62.73 76.99 87.05 96.72 *** 70.37 82.76 95.76 *** *** 73.00 89.28 May 2023 61.08 75.60 86.10 96.18 60.72 75.53 86.32 96.41 56.02 70.70 82.82 95.61 *** 63.75 75.60 90.17 Jun 2023 59.64 74.91 85.60 96.05 59.15 74.85 85.82 96.26 57.61 71.41 83.19 95.77 41.36 *** *** 89.55 Jul 2023 59.27 74.53 85.31 95.94 58.77 74.43 85.58 96.20 57.05 70.67 82.56 95.40 *** 63.10 75.24 89.88 Aug 2023 59.94 75.25 85.87 96.10 59.80 75.11 86.25 96.40 56.76 70.48 82.62 95.34 *** 64.08 76.04 90.15 Sep 2023 60.86 76.00 86.37 96.28 60.95 76.04 86.91 96.60 55.96 70.16 82.40 95.33 44.28 62.45 *** 89.62 Table 7.4: Distribution of the Ratio of Aggregate Derivative Notional to Total Assets, by Fund Type (Percent) Relies on Form N-PORT, Item C.11. and B.1.a. This fgure excludes fund of funds and removes any observations without derivative exposure or non-positive total assets. Fund Type Mutual Fund ETF Closed-End Fund Percentile 50th 75th 90th 50th 75th 90th 50th 75th 90th Oct 2022 10.8 59.9 147.6 6.6 137.2 *** 15.3 40.0 88.1 Nov 2022 11.0 58.0 154.0 6.8 142.9 284.8 14.1 41.3 84.2 Dec 2022 10.6 60.6 153.1 4.3 131.8 288.5 17.3 45.5 *** Jan 2023 10.9 61.0 161.9 8.0 136.1 282.0 14.8 42.6 90.3 Feb 2023 11.2 61.0 163.2 7.0 134.8 284.5 14.7 48.2 92.9 29 Mar 2023 10.5 59.6 153.2 8.6 140.4 277.0 15.3 45.9 *** Apr 2023 10.1 59.9 154.8 8.2 162.6 281.2 17.3 50.8 84.8 May 2023 11.1 60.1 153.0 7.1 160.9 282.0 19.6 48.9 88.4 Jun 2023 10.3 59.3 149.1 5.9 158.0 274.9 20.2 47.3 *** Jul 2023 10.6 60.6 148.0 9.1 157.6 275.3 19.3 46.8 88.0 Aug 2023 9.9 59.2 148.2 9.8 168.5 279.3 19.4 45.9 80.5 Sep 2023 9.5 59.4 150.5 12.3 166.4 289.2 18.8 46.0 85.2 April 18, 2024 Analytics Ofce Table 7.5: Aggregate Derivative Notional, by Counterparty ($Billions) This table relies only on publicly-available information on Form N-PORT, Item C.11 corresponding to the third month of the fscal quarter of each fund and presents counterparty information (including central counterparties) by legal identity. This table includes fund of funds and, for derivatives reported with multiple counterparties, the notional value is divided equally among the counterparties. Valid LEIs are mapped to their legal name using reference information sourced from GLEIF. Each legal name in the table below is hyperlinked to the GLEIF website. Counterparty CHICAGO MERCANTILE EXCHANGE... LCH LTD CHICAGO BOARD OF TRADE OPTIONS CLEARING CORP CME GROUP INC CITIBANK NA BANK OF AMERICA NA JPMORGAN CHASE BANK NA BNP PARIBAS MORGAN STANLEY CO LLC INTERCONTINENTAL EXCHANGE INC UBS AG GOLDMAN SACHS INTL STATE STREET BANK JP MORGAN SECURITIES LLC BARCLAYS BANK PLC GOLDMAN SACHS CO LLC LCHCLEARNET LLC MORGAN STANLEY CAPITAL... MORGAN STANLEY CO INTL PLC ROYAL BANK OF CANADA TORONTODOMINION BANK LCH GROUP HOLDINGS LTD CBOE GLOBAL MARKETS INC UK CLEARING HOUSE LTD CITIGROUP GLOBAL MARKETS INC HSBC UK BANK PLC STANDARD CHARTERED BANK EUREX CLEARING AG BANK OF NEW YORK MELLON HSBC BANK PLC DEUTSCHE BANK AG WELLS FARGO BANK NA GOLDMAN SACHS BANK USA SOCIETE GENERALE EUREX FRANKFURT AG UBS SECURITIES LLC SOCIETE GENERALE NEW HSBC BANK USA NA ICE FUTURES EUROPE SG AMERICAS SECURITIES LLC ICE FUTURES US INC COMMONWEALTH BANK OF AUSTRALIA UBS AG BOFA SECURITIES INC BNP PARIBAS SECURITIES CORP NOMURA GLOBAL FINANCIAL... MERRILL LYNCH INTL MERRILL LYNCH PIERCE FENNER... ICE CLEAR US INC Other Counterparties Invalid LEI Total Oct 2022 652.9 67.9 395.6 169.8 126.6 100.2 132.5 121.4 59.3 111.4 143.6 79.7 99.7 74.4 60.8 34.3 103.7 59.5 60.6 92.9 27.8 42.1 21.6 28.3 17.5 26.2 39.9 25.2 36.4 7.1 31.5 38.6 13.3 20.1 24.5 2.6 7.6 0.2 10.6 13.1 3.1 14.3 9.5 5.2 16.2 9.5 1.4 10.2 8.0 9.2 208.7 494.8 3,970.9 Nov 2022 632.1 62.2 382.7 167.5 121.8 98.1 131.1 120.7 59.2 108.5 142.1 79.5 97.6 74.5 60.2 33.2 107.0 57.9 60.3 91.9 27.6 43.0 21.7 31.3 15.9 29.2 39.9 25.2 36.1 6.4 31.5 38.4 13.3 19.8 24.7 2.9 7.5 0.2 10.5 11.4 3.1 14.0 9.5 5.0 17.0 9.7 1.4 10.4 8.4 9.6 211.4 489.0 3,912.4 Dec 2022 569.9 64.5 388.2 149.3 134.8 200.6 134.3 123.6 56.5 92.0 121.3 67.8 100.9 86.0 58.4 44.8 79.0 61.2 59.8 64.0 18.2 41.7 18.6 27.1 14.8 29.5 39.8 25.7 29.8 6.8 30.4 32.9 4.3 15.1 12.9 4.6 7.4 0.2 14.2 8.0 2.8 12.8 9.5 5.0 16.5 8.2 1.5 9.7 10.1 7.8 202.2 492.8 3,817.3 Jan 2023 570.7 63.9 384.2 154.7 135.5 203.4 115.9 100.3 49.7 93.0 119.2 62.0 96.6 79.6 61.5 49.6 83.9 64.5 54.0 57.3 13.0 49.4 17.0 25.8 15.2 29.5 44.0 22.3 30.3 14.6 29.4 34.5 28.6 15.2 13.2 5.0 7.0 0.2 14.3 7.6 5.9 12.9 13.1 5.0 16.9 5.6 0.5 9.3 10.6 7.5 201.7 502.1 3,806.5 30 Feb 2023 598.4 62.2 388.0 157.9 137.1 202.5 117.0 103.3 49.4 92.9 117.6 61.8 96.4 79.5 58.8 48.9 80.5 73.6 54.3 57.1 16.6 48.3 17.8 28.6 15.7 32.7 44.0 22.2 29.9 14.4 29.7 34.3 28.6 15.3 12.0 5.7 6.9 0.2 14.3 9.7 5.8 12.5 13.1 5.1 15.4 5.3 0.5 9.3 11.1 7.5 196.1 506.0 3,851.9 Mar 2023 600.2 66.7 400.2 171.7 130.1 280.3 133.3 103.9 54.9 82.2 112.2 73.4 75.8 70.7 60.2 56.0 65.6 83.4 67.2 51.3 26.1 51.3 20.9 26.2 17.5 37.5 44.3 18.7 25.5 14.6 28.0 58.2 28.0 18.1 20.9 3.6 7.4 0.2 12.4 9.5 5.6 11.1 13.1 5.1 14.6 6.1 4.8 9.4 18.3 7.4 195.3 622.3 4,121.2 Apr 2023 612.4 62.0 390.4 165.2 128.9 284.9 129.2 111.2 58.9 84.8 114.0 75.2 73.6 68.0 56.5 55.8 60.6 84.8 81.7 47.0 36.2 47.4 22.3 26.2 24.3 37.9 33.2 24.4 25.3 25.1 27.0 50.2 20.4 18.4 21.1 3.5 7.4 0.2 13.3 9.7 9.6 11.0 5.2 5.1 13.9 8.0 4.8 8.9 18.2 7.0 162.8 628.9 4,102.1 May 2023 612.3 62.4 398.4 164.4 134.3 298.0 131.5 116.1 57.7 88.0 111.8 75.5 75.1 68.8 58.2 56.0 62.9 73.3 81.4 47.5 36.4 47.1 22.1 29.8 25.0 36.9 33.2 24.7 25.9 25.9 26.5 49.8 20.5 18.3 21.8 3.0 7.2 0.2 13.6 9.2 9.7 11.2 5.2 4.9 14.8 8.1 4.8 8.6 17.5 7.3 166.7 640.6 4,150.3 Jun 2023 705.0 556.7 400.8 170.5 147.6 116.0 133.2 132.7 89.9 86.5 108.4 62.0 62.8 73.6 59.8 50.4 64.2 62.4 75.8 34.0 30.2 54.8 39.7 33.5 34.0 36.7 32.9 30.1 25.8 26.6 20.4 25.3 21.2 16.1 17.5 20.9 7.2 0.2 12.5 13.5 9.9 11.5 5.2 4.9 14.5 8.5 1.7 9.0 11.3 7.9 172.4 278.2 4,226.5 Jul 2023 749.1 560.1 374.4 175.4 146.8 122.2 130.7 135.6 110.9 86.4 103.0 67.9 60.8 78.0 59.8 54.3 67.8 61.6 60.6 34.2 27.0 42.8 39.9 33.9 34.0 35.7 27.8 32.2 26.4 27.5 19.5 24.9 19.0 17.1 18.4 21.0 7.2 15.5 13.7 14.6 13.6 11.4 12.5 4.9 13.9 6.6 1.7 8.3 11.7 7.9 182.4 280.7 4,293.8 Aug 2023 738.3 559.9 380.8 176.5 147.4 114.3 131.6 131.5 121.9 90.2 103.9 63.4 72.8 77.4 70.3 64.3 64.1 63.1 61.5 42.6 30.1 42.4 40.4 39.3 34.4 33.2 27.8 32.0 26.6 27.1 19.6 25.1 19.0 16.8 24.9 21.3 7.0 15.5 14.0 15.9 13.7 11.5 12.6 12.4 10.8 6.5 1.7 8.1 12.5 7.7 168.2 243.6 4,297.3 Sep 2023 728.1 464.4 396.1 182.9 150.0 146.2 134.9 127.6 124.8 96.4 92.4 73.0 70.7 70.7 70.4 69.9 66.4 60.9 53.3 48.4 40.1 39.7 38.7 37.1 36.2 30.0 27.9 27.6 27.0 26.6 26.0 25.8 18.9 18.7 18.3 18.1 17.8 15.5 14.6 13.6 13.6 12.7 12.6 12.3 10.6 9.6 8.6 8.1 8.1 7.9 152.9 252.1 4,254.5 April 18, 2024 Analytics Ofce 8 Liquidity Classifcations 8.1 Mutual Funds Table 8.1: Aggregate Gross Value of Mutual Fund Investments by Liquidity Classifcation ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) and liquidity classifcations (Form N-PORT, Item C.7). Prevalent Asset Class US Equity Taxable Bond Multi-Asset Global Equity Municipal Bond Total Classifcation Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Total Oct 2022 9,393 31 6 29 9,459 4,226 92 164 38 4,519 3,668 36 19 12 3,735 2,400 97 7 21 2,525 726 11 8 9 754 20,992 Nov 2022 9,844 37 5 28 9,914 4,326 92 160 37 4,615 3,876 36 18 14 3,944 2,654 115 8 22 2,799 743 11 7 13 775 22,047 Dec 2022 9,270 22 5 28 9,325 4,255 83 151 36 4,525 3,720 35 18 12 3,784 2,537 74 33 22 2,667 729 11 6 10 757 21,059 Jan 2023 9,880 26 7 28 9,942 4,350 90 147 37 4,623 3,923 36 17 13 3,988 2,731 109 9 23 2,872 757 10 6 12 786 22,211 31 Feb 2023 9,609 22 5 27 9,664 4,303 85 140 37 4,564 3,800 36 15 13 3,864 2,632 111 5 21 2,769 741 10 5 13 769 21,631 Mar 2023 9,786 20 5 28 9,839 4,390 88 144 38 4,660 3,869 34 17 12 3,932 2,689 107 20 28 2,844 749 11 5 12 777 22,052 Apr 2023 9,855 24 6 28 9,912 4,399 91 131 34 4,655 3,900 39 16 11 3,966 2,600 230 20 23 2,874 752 11 5 11 779 22,186 May 2023 9,799 24 5 28 9,856 4,386 84 128 33 4,632 3,836 35 16 13 3,899 2,649 103 13 22 2,787 742 10 5 11 768 21,942 Jun 2023 10,389 18 6 29 10,442 4,392 80 129 34 4,635 3,955 33 15 13 4,016 2,813 72 12 24 2,921 746 10 5 11 773 22,786 Jul 2023 10,706 24 5 30 10,764 4,417 84 131 35 4,666 4,033 32 16 12 4,093 2,844 126 20 24 3,014 751 11 5 12 779 23,315 Aug 2023 10,437 21 7 30 10,495 4,403 80 131 33 4,647 3,931 34 15 12 3,992 2,784 80 15 23 2,902 740 10 5 12 766 22,803 Sep 2023 9,926 22 7 29 9,983 4,333 81 131 37 4,582 3,784 30 17 14 3,844 2,552 154 31 49 2,786 713 10 4 12 739 21,934 April 18, 2024 Analytics Ofce Table 8.2: Aggregate Net Assets of Mutual Funds Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Illiquid ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifcations (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 3,195 449 125 2,365 504 133 1,358 498 40 1,489 38 93 255 117 32 Nov 2022 3,348 436 103 2,331 511 117 1,518 549 41 1,589 58 93 388 159 44 Dec 2022 3,811 423 101 2,275 525 128 1,420 527 42 1,513 55 88 405 115 33 Jan 2023 4,130 461 98 2,433 522 99 1,644 546 14 1,589 67 80 396 148 54 Feb 2023 4,028 421 97 2,396 518 100 1,607 530 18 1,560 60 83 388 139 59 Mar 2023 4,334 440 94 2,356 572 144 1,482 604 20 1,571 48 87 398 164 36 Apr 2023 4,268 442 94 2,370 546 113 1,555 548 14 1,601 51 78 401 145 53 May 2023 4,381 442 92 2,357 560 103 1,615 542 22 1,579 40 90 388 166 34 Jun 2023 4,519 486 82 2,409 555 124 1,591 567 20 1,575 52 90 413 152 34 Jul 2023 4,640 503 83 2,395 566 120 1,771 579 18 1,593 45 91 403 161 34 Aug 2023 4,612 528 81 2,419 522 118 1,591 601 20 1,572 48 86 406 160 39 Sep 2023 4,455 520 73 2,335 577 131 1,273 610 251 1,514 51 101 401 147 37 Table 8.3: Number of Mutual Funds Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Illiquid This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifcations (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond US Equity Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 780 144 55 512 80 27 504 65 19 329 39 42 173 63 19 Nov 2022 780 145 49 528 80 23 511 56 21 334 33 42 180 65 18 Dec 2022 757 138 56 555 77 26 492 58 18 326 33 42 174 69 15 32 Jan 2023 758 144 46 565 73 25 519 57 17 339 30 38 176 66 15 Feb 2023 756 146 47 584 68 25 581 50 17 327 28 44 181 65 17 Mar 2023 772 151 49 615 61 25 492 52 20 332 26 38 180 64 17 Apr 2023 766 141 44 562 67 26 483 47 20 316 24 34 179 61 16 May 2023 758 155 46 572 57 24 532 49 23 316 23 38 174 69 14 Jun 2023 769 151 48 562 60 22 485 53 16 307 26 37 180 60 13 Jul 2023 769 142 49 555 65 19 541 63 16 310 24 36 178 60 15 Aug 2023 754 149 43 587 66 21 496 58 22 302 27 36 176 64 18 Sep 2023 746 164 60 602 71 21 436 97 108 302 32 43 177 58 19 April 18, 2024 8.2 Analytics Ofce ETFs Table 8.4: Aggregate Gross Value of ETF Investments by Liquidity Classifcation ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) and liquidity classifcations (Form N-PORT, Item C.7). This table does not generally cover in-kind ETFs as defned in Rule 22e-4 under the Investment Company Act of 1940 (17 CFR 270.22e-4). Prevalent Asset Class US Equity Taxable Bond Global Equity Municipal Bond Multi-Asset Total Classifcation Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Highly Liquid Moderately Liquid Less Liquid Illiquid Subtotal Total Oct 2022 2,613 1 0 1 2,615 1,059 5 13 2 1,078 665 13 1 6 685 77 0 0 0 77 82 1 0 0 83 4,538 Nov 2022 2,760 1 0 2 2,762 1,099 5 13 1 1,119 758 16 2 8 785 84 0 0 0 84 80 1 0 0 81 4,831 Dec 2022 2,621 0 0 0 2,622 1,099 2 13 1 1,115 751 7 5 7 770 86 0 1 0 87 75 0 0 1 76 4,670 Jan 2023 2,800 1 0 1 2,802 1,153 3 14 2 1,172 827 14 1 7 850 89 0 1 0 90 77 1 0 0 78 4,992 Feb 2023 2,732 1 0 0 2,733 1,132 3 13 3 1,150 793 15 1 7 816 87 0 1 0 87 72 1 0 0 73 4,860 Mar 2023 2,753 1 0 1 2,755 1,179 4 12 1 1,196 811 14 2 8 835 89 0 1 0 90 74 1 0 0 75 4,950 Apr 2023 2,776 1 0 1 2,777 1,196 3 12 1 1,212 804 30 2 7 844 90 0 1 0 90 71 1 0 0 72 4,994 May 2023 2,762 1 0 1 2,763 1,203 3 11 1 1,218 797 15 2 7 821 89 1 0 0 90 72 1 0 0 73 4,966 Jun 2023 2,971 1 0 0 2,973 1,208 4 11 2 1,224 841 9 1 7 858 90 1 0 0 92 77 1 0 0 78 5,225 Jul 2023 3,111 1 0 1 3,112 1,218 4 12 1 1,235 875 19 2 7 904 92 1 0 0 94 84 1 0 0 85 5,430 Aug 2023 3,060 1 0 1 3,062 1,205 4 12 1 1,221 842 12 2 7 862 92 1 0 0 94 88 1 0 0 89 5,329 Sep 2023 2,925 1 0 1 2,927 1,181 4 17 3 1,204 766 44 2 23 835 91 1 0 0 93 79 1 0 0 80 5,137 Table 8.5: Aggregate Net Assets of ETFs Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Illiquid ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifcations (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Municipal Bond Multi-Asset Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 785 *** *** 469 120 *** 541 *** *** *** *** *** 8 *** *** Nov 2022 904 *** *** 487 *** *** 579 *** *** *** *** *** *** *** *** Dec 2022 1,194 *** *** 494 *** *** 565 *** *** *** *** *** 7 *** *** Jan 2023 1,312 *** *** 553 *** *** 665 *** *** *** *** *** 8 *** *** 33 Feb 2023 1,273 *** *** 590 132 *** 587 *** *** *** *** *** 9 *** *** Mar 2023 1,224 *** *** 532 137 *** 674 *** *** *** *** *** 7 *** *** Apr 2023 1,287 *** *** 515 *** *** 540 *** *** *** *** *** 8 *** *** May 2023 1,333 *** *** 554 141 *** 625 3 *** *** *** *** 9 *** *** Jun 2023 1,457 *** *** 513 139 *** 639 8 *** *** *** *** 8 *** *** Jul 2023 1,465 *** *** 540 *** *** 553 *** *** *** *** *** 7 *** *** Aug 2023 1,487 *** *** 571 *** *** 511 *** *** *** *** *** *** *** *** Sep 2023 1,423 *** *** 391 215 108 400 *** *** *** *** *** 8 *** *** April 18, 2024 Analytics Ofce Table 8.6: Number of ETFs Reporting Illiquid Gross Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Illiquid This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and liquidity classifcations (Form N-PORT, Item C.7). See the appendix for a review of interval notation used here. Prevalent Asset Class Global Equity US Equity Taxable Bond Municipal Bond Multi-Asset Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 190 15 *** 88 *** *** 104 *** *** *** *** *** 10 *** *** Nov 2022 185 *** *** 96 *** *** 110 *** *** *** *** *** *** *** *** Dec 2022 182 *** *** 100 *** *** 100 *** *** *** *** *** 9 *** *** 34 Jan 2023 186 *** *** 97 *** *** 106 *** *** *** *** *** 10 *** *** Feb 2023 214 11 *** 101 *** *** 101 *** *** *** *** *** 11 *** *** Mar 2023 189 13 *** 99 *** *** 130 *** *** *** *** *** 11 *** *** Apr 2023 174 *** *** 96 *** *** 102 *** *** *** *** *** 12 *** *** May 2023 192 12 *** 106 *** *** 107 10 *** *** *** *** 14 *** *** Jun 2023 165 9 *** 106 *** *** 109 15 *** *** *** *** 13 *** *** Jul 2023 173 *** *** 102 *** *** 103 *** *** *** *** *** 12 *** *** Aug 2023 174 *** *** 104 *** *** 98 *** *** *** *** *** *** *** *** Sep 2023 147 31 36 115 *** *** 100 *** *** *** *** *** 9 *** *** April 18, 2024 Analytics Ofce 9 Fair Value Levels8 9.1 Mutual Funds Table 9.1: Aggregate Gross Value of Mutual Fund Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class US Equity Taxable Bond Multi-Asset Global Equity Municipal Bond Total 8 Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Oct 2022 9,340 120 23 27 9,509 280 4,224 32 3 4,539 2,838 698 6 212 3,754 1,403 1,242 4 5 2,655 15 738 *** *** 754 21,212 Nov 2022 9,733 186 23 26 9,967 257 4,343 31 3 4,634 2,925 800 6 234 3,964 906 2,023 4 5 2,938 15 759 *** *** 775 22,278 Dec 2022 9,163 166 22 25 9,376 238 4,279 25 2 4,545 2,800 777 6 223 3,805 1,039 1,755 4 4 2,801 12 744 *** *** 757 21,283 Jan 2023 9,758 187 23 26 9,994 253 4,361 26 2 4,643 2,953 815 6 235 4,009 976 2,026 4 4 3,010 15 770 *** *** 786 22,441 Feb 2023 9,542 123 24 27 9,716 253 4,301 26 3 4,583 2,933 718 5 228 3,885 1,566 1,329 5 5 2,904 14 755 *** *** 769 21,858 Mar 2023 9,658 186 23 27 9,894 239 4,411 26 3 4,679 2,919 803 5 229 3,957 1,030 1,943 4 6 2,983 13 763 *** *** 777 22,289 Apr 2023 9,727 189 23 27 9,966 258 4,387 26 3 4,675 2,950 800 6 231 3,987 1,043 1,960 5 6 3,014 13 765 *** *** 779 22,420 May 2023 9,734 127 23 27 9,911 257 4,367 25 2 4,651 2,971 717 5 227 3,921 1,577 1,342 4 0 2,923 11 756 *** *** 768 22,174 Jun 2023 10,274 176 23 28 10,501 247 4,378 27 2 4,654 3,013 786 6 235 4,041 1,194 1,862 4 5 3,065 10 762 *** *** 773 23,033 Jul 2023 10,651 123 23 27 10,824 253 4,407 24 2 4,685 3,149 718 6 242 4,116 1,750 1,401 5 4 3,160 11 766 *** *** 779 23,564 Aug 2023 10,391 117 23 26 10,556 252 4,387 24 2 4,666 3,059 714 6 237 4,016 1,688 1,348 4 4 3,045 10 755 *** *** 766 23,050 Sep 2023 9,827 166 22 25 10,040 260 4,314 23 2 4,601 2,874 762 6 227 3,869 1,171 1,742 5 4 2,922 9 729 *** *** 739 22,170 See U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement) for more information. 35 April 18, 2024 Analytics Ofce Table 9.2: Aggregate Net Assets of Mutual Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 2,779 389 85 1,808 16 3 1,493 285 187 1,088 17 55 215 *** *** Nov 2022 2,960 407 69 1,963 16 3 1,490 283 182 1,142 31 39 222 *** *** Dec 2022 3,416 380 *** 1,892 13 *** 1,400 280 163 1,118 *** 44 207 *** 0 Jan 2023 3,667 416 57 2,079 9 *** 1,521 303 116 1,185 33 37 218 *** *** Feb 2023 3,687 371 91 2,005 40 3 1,486 260 155 1,164 23 35 217 *** *** Mar 2023 3,701 *** *** 1,979 43 *** 1,506 259 172 1,163 *** 37 221 *** 0 Apr 2023 3,712 397 71 2,045 20 3 1,638 260 158 1,186 17 39 248 *** *** May 2023 3,786 407 67 2,027 17 6 1,673 300 118 1,164 23 28 264 *** *** Jun 2023 4,002 *** *** 2,115 *** *** 1,566 330 119 1,194 *** 38 248 *** *** Jul 2023 4,169 449 63 2,188 *** *** 2,063 333 98 1,139 35 40 228 *** *** Aug 2023 4,058 451 47 2,051 35 3 1,571 323 115 1,148 30 36 342 *** *** Sep 2023 3,936 411 *** 1,953 61 *** 1,566 297 116 1,135 *** 50 218 *** *** Table 9.3: Number of Mutual Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond US Equity Global Equity Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 500 78 46 379 43 15 400 11 6 232 12 22 84 *** *** Nov 2022 483 79 43 385 44 13 374 9 8 227 16 14 84 *** *** Dec 2022 466 81 39 405 45 *** 368 9 *** 227 *** 19 80 *** 0 36 Jan 2023 494 76 31 413 44 14 378 8 *** 233 16 18 80 *** *** Feb 2023 501 72 31 442 39 25 404 9 7 243 11 19 85 *** *** Mar 2023 481 79 34 415 *** *** 356 9 *** 222 *** 18 86 *** 0 Apr 2023 503 74 28 416 42 21 366 10 7 221 10 20 94 *** *** May 2023 541 75 29 420 38 15 377 8 8 218 10 9 81 *** *** Jun 2023 528 82 31 417 *** *** 369 *** *** 213 *** 16 80 *** *** Jul 2023 502 78 30 427 41 17 404 *** *** 200 14 21 82 *** *** Aug 2023 503 81 28 433 45 15 384 9 5 193 15 16 92 *** *** Sep 2023 511 74 28 430 42 *** 384 10 *** 197 *** 19 89 *** *** April 18, 2024 9.2 Analytics Ofce ETFs Table 9.4: Aggregate Gross Value of ETF Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class US Equity Taxable Bond Global Equity Multi-Asset Municipal Bond Total Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Oct 2022 3,952 44 0 4 4,000 58 1,119 0 0 1,177 332 634 0 1 966 73 39 0 0 112 1 92 *** *** 93 6,349 Nov 2022 4,185 44 0 3 4,232 56 1,165 0 0 1,222 359 744 0 1 1,104 75 36 0 1 111 1 100 *** *** 101 6,770 Dec 2022 3,952 43 0 2 3,998 56 1,161 0 0 1,217 345 735 0 1 1,081 72 33 0 0 106 1 103 *** *** 104 6,506 Jan 2023 4,215 46 0 3 4,264 62 1,218 0 0 1,280 392 800 0 1 1,193 79 30 0 0 109 1 106 *** *** 107 6,953 37 Feb 2023 4,095 44 0 3 4,143 62 1,193 0 0 1,255 385 762 1 1 1,149 76 26 0 0 103 1 103 *** *** 104 6,753 Mar 2023 4,158 44 0 4 4,206 67 1,240 0 0 1,307 391 785 0 1 1,177 81 24 0 0 105 1 105 *** *** 106 6,900 Apr 2023 4,195 46 0 4 4,245 73 1,258 0 0 1,331 394 800 0 1 1,194 79 22 0 0 102 1 106 *** *** 106 6,979 May 2023 4,195 44 0 3 4,242 72 1,257 0 0 1,329 386 770 0 1 1,157 79 22 0 0 101 0 105 *** *** 106 6,936 Jun 2023 4,502 50 0 4 4,556 58 1,279 0 0 1,337 403 803 0 1 1,207 84 25 0 1 110 0 107 *** *** 108 7,317 Jul 2023 4,703 55 0 4 4,761 60 1,288 0 0 1,349 434 829 0 1 1,265 90 27 0 0 118 0 109 *** *** 110 7,602 Aug 2023 4,602 53 0 4 4,659 63 1,275 0 0 1,338 415 792 0 1 1,208 89 32 0 0 121 1 109 *** *** 109 7,435 Sep 2023 4,403 51 0 4 4,459 58 1,265 0 0 1,323 403 764 0 1 1,168 79 30 0 0 109 0 107 *** *** 107 7,167 April 18, 2024 Analytics Ofce Table 9.5: Aggregate Net Assets of ETFs Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class US Equity Global Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 633 0 0 730 1 0 120 0 1 0 0 0 0 *** *** Nov 2022 687 0 0 781 1 0 110 0 1 0 0 0 0 *** *** Dec 2022 1,085 0 *** 765 1 *** 89 0 0 0 *** 0 0 *** 0 Jan 2023 1,184 0 0 874 1 *** 92 0 0 1 0 0 0 *** *** Feb 2023 1,281 0 0 894 1 0 92 0 0 2 0 0 0 *** *** Mar 2023 1,170 *** *** 822 1 *** 62 1 0 2 *** 0 0 *** 0 Apr 2023 1,178 0 0 868 0 0 91 0 0 2 0 0 0 *** *** May 2023 1,261 0 0 841 1 0 97 1 0 3 0 0 0 *** *** Jun 2023 1,391 *** *** 838 *** *** 76 0 0 2 *** 0 0 *** *** Jul 2023 1,438 0 0 879 *** *** 177 1 0 1 0 0 0 *** *** Aug 2023 1,434 0 0 872 1 0 78 1 0 2 0 0 0 *** *** Sep 2023 1,496 0 *** 851 0 *** 77 1 0 2 *** 0 0 *** *** Table 9.6: Number of ETFs Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Global Equity US Equity Taxable Bond Multi-Asset Municipal Bond Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 180 3 1 57 1 0 36 1 5 4 0 1 1 *** *** Nov 2022 174 3 1 61 0 0 35 1 4 3 0 1 1 *** *** Dec 2022 180 4 *** 73 0 *** 35 2 3 5 *** 0 1 *** 0 38 Jan 2023 171 3 *** 71 1 0 38 0 3 7 0 0 1 *** *** Feb 2023 193 4 1 81 1 1 39 2 2 9 0 0 1 *** *** Mar 2023 173 6 *** 77 *** *** 35 5 1 8 *** 0 1 *** 0 Apr 2023 170 5 1 77 0 1 38 1 2 8 0 0 1 *** *** May 2023 173 4 0 81 0 0 39 3 2 10 0 0 1 *** *** Jun 2023 165 *** *** 85 *** *** 43 3 4 7 *** 4 1 *** *** Jul 2023 155 *** *** 82 2 0 43 3 2 6 0 0 2 *** *** Aug 2023 153 3 0 95 1 0 43 2 2 5 0 1 1 *** *** Sep 2023 167 2 *** 105 1 *** 42 4 2 5 *** 0 1 *** *** April 18, 2024 9.3 Analytics Ofce Closed-End Funds Table 9.7: Aggregate Gross Value of Closed-End Fund Investments, by Prevalent Asset Class and Fair Value Level ($Billions) This table includes fund of funds, relies upon value reported (Form N-PORT, Item C.2.c) and aggregates by fair value level (Form N-PORT, Item C.8). Prevalent Asset Class Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Total Fair Value Level Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Level One Level Two Level Three No Level Subtotal Total Oct 2022 7 108 40 4 158 27 16 21 47 112 75 4 3 0 83 1 82 *** *** 84 16 8 1 0 25 461 Nov 2022 7 107 38 4 155 27 18 22 46 113 79 5 4 1 88 1 86 *** *** 87 15 11 1 0 27 470 Dec 2022 7 108 36 4 153 25 16 22 46 109 73 5 3 1 82 1 85 *** *** 86 15 9 1 0 26 456 Jan 2023 7 109 36 4 155 26 17 23 47 112 80 5 3 1 90 1 88 *** *** 89 15 11 1 0 27 473 39 Feb 2023 6 109 36 4 155 25 15 23 47 110 77 5 3 1 86 1 85 *** *** 86 16 9 1 0 26 462 Mar 2023 7 108 36 4 154 24 15 22 48 109 78 4 4 1 88 1 85 *** *** 86 14 11 1 0 26 463 Apr 2023 6 107 38 4 156 24 15 23 47 109 77 5 4 1 87 1 85 *** *** 86 15 11 1 0 26 464 May 2023 6 105 37 4 152 24 15 23 47 109 76 5 4 2 87 1 84 *** *** 85 16 9 1 0 25 459 Jun 2023 6 107 39 4 155 25 15 23 48 111 80 5 4 2 91 1 85 *** *** 86 15 10 1 0 26 469 Jul 2023 6 108 40 4 158 26 15 24 47 112 82 5 5 2 93 1 85 *** *** 86 17 9 1 0 27 476 Aug 2023 6 108 41 4 158 27 15 25 47 113 79 4 5 2 90 2 84 *** *** 86 16 9 1 0 26 472 Sep 2023 5 109 42 4 160 26 14 25 49 113 73 4 5 2 84 1 80 *** *** 82 15 9 1 0 24 464 April 18, 2024 Analytics Ofce Table 9.8: Aggregate Net Assets of Closed-End Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three ($Billions) This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 21 3 55 13 8 32 9 2 13 20 *** *** 4 0 2 Nov 2022 20 6 54 13 8 33 11 2 14 22 *** *** 5 0 2 Dec 2022 21 3 55 15 *** 32 14 2 *** 21 *** 0 4 0 *** Jan 2023 20 5 56 15 7 34 12 3 14 22 *** *** 5 0 *** Feb 2023 19 8 54 13 6 34 12 3 14 21 *** *** 4 0 2 Mar 2023 20 8 54 13 *** 33 12 *** *** 22 *** 0 7 0 *** Apr 2023 21 7 56 13 7 33 14 2 15 22 *** *** 5 0 2 May 2023 22 10 55 13 7 33 12 2 15 22 *** *** 7 0 2 Jun 2023 20 10 56 10 *** 34 11 *** *** 23 *** *** 4 *** *** Jul 2023 20 7 59 11 7 36 15 2 16 22 *** *** 5 *** *** Aug 2023 19 10 59 13 7 36 13 2 16 20 *** *** 5 0 2 Sep 2023 18 9 60 12 *** 36 11 3 *** 19 *** *** 4 0 *** Table 9.9: Number of Closed-End Funds Reporting Gross Level Three Positions, by Prevalent Asset Class and Binned by Fraction of Net Assets Classifed as Level Three This table includes fund of funds and relies upon value reported (Form N-PORT, Item C.2.c) relative to net assets (Form N-PORT, Item B.1.c) and fair value level (Form N-PORT, Item C.8). See the appendix for a review of interval notation used here. Prevalent Asset Class Taxable Bond Multi-Asset US Equity Municipal Bond Global Equity Fraction of Net Assets (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more (0,2%) [2%,5%) 5% or more Oct 2022 52 11 80 19 11 44 11 3 17 20 *** *** 12 2 2 Nov 2022 53 15 78 20 11 42 12 3 18 20 *** *** 12 2 2 Dec 2022 52 11 82 23 *** 44 14 3 *** 20 *** 1 12 2 *** 40 Jan 2023 51 17 78 25 6 46 12 4 17 19 *** *** 12 2 *** Feb 2023 49 18 78 23 7 46 12 4 17 18 *** *** 12 2 2 Mar 2023 49 16 81 21 *** 47 13 *** *** 20 *** 1 14 2 *** Apr 2023 59 19 76 22 7 45 14 3 18 20 *** *** 13 2 2 May 2023 61 19 80 22 8 44 13 3 18 21 *** *** 15 1 3 Jun 2023 58 20 83 17 *** 43 12 *** *** 22 *** *** 13 *** *** Jul 2023 53 17 86 16 9 44 14 3 19 21 *** *** 13 *** *** Aug 2023 52 20 83 18 9 44 15 3 19 20 *** *** 14 1 3 Sep 2023 48 21 81 19 *** 46 12 5 *** 20 *** *** 13 2 *** April 18, 2024 10 Analytics Ofce Interest Rate Risk9 Table 10.1: Aggregate Interest Rate Risk, by Prevalent Asset Class and Fund Type ($Billions) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Fund Type Mutual Fund ETF Closed-End Fund Total Prevalent Asset Class Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Subtotal Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Subtotal Taxable Bond Municipal Bond Multi-Asset US Equity Global Equity Subtotal Total Oct 2022 175.8 43.9 30.9 0.2 0.0 250.9 62.3 5.4 0.3 *** *** 68.0 3.1 1.6 0.5 *** *** 5.2 324.1 Nov 2022 182.9 44.2 32.2 *** *** 259.5 66.3 5.8 0.3 *** *** 72.4 3.1 3.3 0.5 *** *** 6.9 338.8 Dec 2022 179.6 44.6 31.6 *** *** 256.0 65.2 6.0 0.3 *** *** 71.5 3.1 3.0 0.5 *** *** 6.6 334.1 Jan 2023 185.0 45.5 32.5 0.2 0.0 263.1 69.0 6.1 0.3 *** *** 75.5 3.2 4.6 0.5 *** *** 8.4 347.0 Feb 2023 184.8 44.4 32.9 *** *** 262.3 66.3 6.0 0.3 *** *** 72.6 3.2 3.6 0.4 *** *** 7.3 342.2 Mar 2023 188.7 45.1 32.9 *** *** 266.9 69.6 6.1 0.3 *** *** 76.1 3.1 3.7 0.4 *** *** 7.3 350.3 Apr 2023 189.7 45.3 32.9 0.3 0.0 268.1 70.3 6.1 0.3 *** *** 76.8 3.1 5.0 0.4 *** *** 8.5 353.4 May 2023 190.0 44.9 33.8 *** *** 269.1 69.7 6.0 0.3 *** *** 76.0 3.0 4.4 0.4 *** *** 7.9 353.0 Jun 2023 192.2 45.1 34.0 *** *** 271.5 70.6 6.1 0.3 *** *** 77.0 3.0 4.7 0.4 0.0 0.0 8.2 356.7 Jul 2023 193.9 45.3 34.0 0.2 0.0 273.5 71.5 6.2 0.3 *** *** 78.1 3.1 5.0 0.3 *** *** 8.5 360.1 Aug 2023 192.1 45.7 33.8 *** *** 271.8 70.5 6.4 0.3 *** *** 77.2 3.0 3.5 0.4 *** *** 7.0 356.0 Sep 2023 185.8 45.4 32.3 0.2 0.0 263.8 68.2 6.5 0.3 *** *** 75.0 3.0 1.7 0.4 0.0 0.0 5.3 344.1 Table 10.2: Aggregate Interest Rate Risk, by Prevalent Asset Class and Fund Type (Percent of Aggregate NAV) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Fund Type ETF Closed-End Fund Mutual Fund Prevalent Asset Class Municipal Bond Taxable Bond US Equity Multi-Asset Global Equity Municipal Bond Taxable Bond Multi-Asset US Equity Global Equity Municipal Bond Taxable Bond Multi-Asset US Equity Global Equity Oct 2022 5.71 4.43 *** 1.76 *** 8.94 3.46 1.98 *** *** 6.01 4.75 1.97 0.65 0.21 Nov 2022 5.61 4.56 *** 1.54 *** 10.11 3.40 2.00 *** *** 5.87 4.83 1.97 *** *** Dec 2022 5.59 4.51 *** 1.74 *** 9.95 3.47 2.10 *** *** 6.07 4.83 2.01 *** *** Jan 2023 5.56 4.60 *** 2.10 *** 10.60 3.50 2.07 *** *** 5.96 4.81 1.98 0.48 0.00 Feb 2023 5.61 4.48 *** 2.89 *** 10.06 3.46 1.92 *** *** 5.93 4.87 2.05 *** *** Mar 2023 5.59 4.56 *** 2.87 *** 10.20 3.39 1.82 *** *** 5.97 4.92 2.02 *** *** Apr 2023 5.61 4.56 *** 3.04 *** 10.86 3.39 1.70 *** *** 5.98 4.93 2.01 0.60 0.00 May 2023 5.50 4.52 *** 2.95 *** 10.66 3.32 1.76 *** *** 6.00 4.97 2.11 *** *** Jun 2023 5.48 4.56 *** 2.69 *** 10.72 3.24 1.72 0.86 0.67 5.98 5.01 2.07 *** *** Jul 2023 5.52 4.57 *** 2.60 *** 10.88 3.23 1.62 *** *** 5.98 5.02 2.04 0.22 0.38 Aug 2023 5.66 4.49 *** 2.79 *** 10.52 3.12 1.71 *** *** 6.11 4.98 2.07 *** *** Sep 2023 5.84 4.44 *** 2.78 *** 9.24 3.14 1.89 1.65 0.74 6.29 4.93 2.05 0.67 0.27 9 When not presenting individual maturities we aggregate DV100 values across all maturities reported. Aggregate NAV used as denominator in percentage calculations only includes funds reporting DV100 in the given categories. 41 April 18, 2024 Analytics Ofce Table 10.3: Aggregate Interest Rate Risk, by Currency and Maturity ($Billions) This table includes fund of funds, relies upon DV100 reported (Form N-PORT, Item B.3.b). The aggregates are comprised of gross values trimmed at the 99th percentile relative to net assets. Currency USD EUR JPY GBP CAD Other Total Maturity 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal 3M 1Y 5Y 10Y 30Y Subtotal Total Oct 2022 4.0 31.6 97.1 102.5 62.0 297.2 0.5 1.1 3.6 3.7 2.1 11.0 0.1 0.2 1.4 2.5 1.9 6.1 0.1 0.2 0.4 0.9 0.7 2.4 0.1 0.2 0.4 0.5 0.3 1.4 0.1 1.0 2.2 2.0 0.7 6.0 324.1 Nov 2022 3.6 32.8 101.4 106.1 67.0 310.9 0.4 1.2 3.8 4.0 2.4 11.8 0.1 0.2 1.5 2.5 1.8 6.2 0.1 0.3 0.5 1.0 0.7 2.5 0.0 0.2 0.4 0.5 0.3 1.4 0.1 1.0 2.2 2.1 0.7 6.0 338.8 Dec 2022 4.0 32.1 99.5 105.4 65.7 306.8 0.8 1.2 3.7 3.8 2.0 11.6 0.2 0.2 1.5 2.6 1.9 6.3 0.1 0.3 0.4 0.9 0.6 2.3 0.1 0.2 0.3 0.4 0.3 1.3 0.2 0.9 2.1 2.0 0.7 5.9 334.1 Jan 2023 3.9 34.1 104.0 107.9 69.2 319.0 0.7 1.3 3.8 4.0 2.2 11.9 0.2 0.2 1.6 2.6 1.9 6.4 0.1 0.2 0.4 0.8 0.7 2.2 0.0 0.1 0.4 0.5 0.3 1.3 0.1 0.9 2.1 2.2 0.7 6.1 347.0 Feb 2023 4.3 34.5 101.9 106.3 67.8 314.8 0.6 1.3 3.7 4.0 2.0 11.7 0.1 0.2 1.5 2.4 1.9 6.1 0.1 0.3 0.5 0.9 0.6 2.4 0.1 0.1 0.3 0.4 0.3 1.3 0.1 0.9 2.1 2.1 0.7 5.9 342.2 42 Mar 2023 4.5 35.1 103.9 108.2 70.4 322.2 0.4 1.3 3.8 4.2 2.2 12.0 0.2 0.2 1.6 2.6 2.0 6.5 0.1 0.2 0.5 0.9 0.7 2.4 0.0 0.1 0.3 0.4 0.3 1.2 0.1 0.9 2.1 2.2 0.7 6.0 350.3 Apr 2023 4.1 35.4 104.6 109.4 71.2 324.7 0.5 1.4 4.0 4.4 2.2 12.4 0.1 0.2 1.6 2.5 2.0 6.4 0.1 0.2 0.6 0.9 0.7 2.5 0.0 0.1 0.3 0.4 0.3 1.2 0.1 0.9 2.1 2.3 0.7 6.2 353.4 May 2023 4.7 36.7 105.5 108.8 69.2 324.8 0.6 1.3 3.9 4.1 2.1 12.0 0.1 0.2 1.6 2.4 1.9 6.2 0.1 0.3 0.6 1.0 0.6 2.6 0.1 0.1 0.3 0.4 0.3 1.3 0.1 0.8 2.1 2.3 0.7 6.1 353.0 Jun 2023 4.6 36.8 106.4 109.7 69.8 327.3 0.7 1.3 3.9 4.4 2.2 12.6 0.1 0.2 1.5 2.4 1.9 6.2 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.2 0.4 0.5 0.3 1.4 0.2 0.8 2.1 2.5 0.8 6.4 356.7 Jul 2023 4.4 36.8 108.2 111.4 69.9 330.6 0.8 1.3 4.1 4.5 2.2 12.8 0.1 0.2 1.4 2.3 1.9 5.9 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.2 0.4 0.4 0.3 1.4 0.2 0.9 2.2 2.6 0.8 6.6 360.1 Aug 2023 4.5 36.3 107.0 110.7 68.6 327.1 0.6 1.3 4.1 4.4 2.2 12.6 0.1 0.2 1.4 2.2 1.8 5.6 0.1 0.3 0.6 1.0 0.7 2.7 0.1 0.3 0.4 0.4 0.3 1.4 0.2 0.9 2.3 2.4 0.8 6.6 356.0 Sep 2023 5.2 35.1 104.6 106.7 63.9 315.6 1.2 1.2 4.1 4.1 2.1 12.7 0.1 0.2 1.3 2.1 1.7 5.4 0.2 0.2 0.6 0.9 0.6 2.4 0.1 0.3 0.4 0.4 0.3 1.5 0.2 0.9 2.3 2.3 0.7 6.5 344.1 April 18, 2024 11 Analytics Ofce Securities Lending Table 11.1: Aggregate Gross Value of Securities on Loan by Funds, by Fund Type and Investment Category of Security on Loan ($Billions) This table reports the gross value of securities on loan (Form N-PORT, Item C.12.c). Investment category from asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C.4.b), adjusted for consensus — see the appendix for more details. Fund Type Mutual Fund ETF Closed-End Fund Total Investment Category Common Equity Corporate Debt US Treasury Debt Other Subtotal Common Equity Corporate Debt US Treasury Debt Other Subtotal Common Equity Corporate Debt US Treasury Debt Other Subtotal Total Oct 2022 116 14 10 12 152 77 17 7 4 105 4 *** *** 0 5 262 Nov 2022 112 14 7 11 143 75 19 2 3 99 4 *** *** 0 5 247 Dec 2022 106 13 9 11 140 79 18 7 3 106 4 *** *** *** 5 251 Jan 2023 102 14 9 10 134 81 19 5 4 109 4 *** *** 0 5 248 Feb 2023 109 13 10 10 142 81 18 6 3 108 4 *** *** 0 5 255 Mar 2023 125 13 9 10 157 85 16 9 4 114 4 *** *** *** 5 275 Apr 2023 117 13 9 11 150 82 18 14 4 117 4 *** 0 *** 5 272 May 2023 97 12 8 10 128 79 18 10 2 109 4 *** *** 0 5 242 Jun 2023 111 12 6 9 138 81 18 4 2 106 3 *** *** *** 5 249 Jul 2023 98 12 11 10 132 83 *** *** 3 108 4 *** 0 *** 5 244 Aug 2023 99 12 11 12 133 81 18 9 3 111 4 1 *** *** 5 249 Sep 2023 102 12 10 12 136 79 17 6 3 104 4 *** *** *** 5 245 Table 11.2: Number of Funds with Securities on Loan, by Fund Type and Investment Category of Security on Loan This table reports the number of funds with securities on loan (Form N-PORT, Item C.12.c). Investment category from asset type (Form N-PORT, Item C.4.a) and issuer type (Form N-PORT, Item C [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Ad82ba1675ecec9d5. Public record. Not legal advice.